I am trying to predict a univariate time series by SVM. I use R and the package "e1071". I also use "svm.pred". However, I can not find the 10 years ahead forecasted value. Please help me. If possible give me the R code.
I doubt that SVM is ever applicable to the time series prediction problem. The problem SVM solves is the so-called supervised learning problem, that is, prediction of a categorical output variable based on input variables using a training set of input-output values. For example, one may classify tumors - benign or malignant - based on their expressed gene levels and using the database of tumors having already been examined.
There is a number of methods for time series prediction: parametric (i.e., assuming a model of a time series) and non-parametric. Non-parametric methods are more general, but they may lack precision compared to parametric ones. I would advise you to check the SSA (Singular Spectrum Analysis) method. It is non-parametric and usually provides suitable results for a wide range of time series problems. The method is implemented in the R package Rssa, please find the link below.
http://cran.r-project.org/web/packages/Rssa/index.html
I have to disagree with Gaik here. SVM can without doubt be used for regression problems (such as time series forecasting) as well as classification problems. Supervised learning involves not just supervised classification problems but also supervised regression problems. Just do a search for support vector regression and you should get some pointers.
Dear Davide Roverso,
Thank you very much. Actually I am able to forecast the value for our study period. I want to forecast future value. I cannot do this. If you have a R code for this please provide me.
Dear Moyazzem, I am not sure I understand your problem. If you train the SVM regression model to ferecast the data for your study period (training data) with the same time horizon that you are interested in forecasting future values, you should be all set.
Dear Davide
Thank you very much. I used a data set of a univariate time series over the period 1970 to 2014. Now I want to forecast the value of the time series up to 2025. Please help me how I do this by R.
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