I am using hybrid model in time series forecasting with Matlab and already randomly divided the data into training and testing but need to know which is the most appropriate ( and easy as possible) regularization model I can use to beat the over-fitting problem. the sample between 1998-2013. Any suggestion please. I must mention also that I am using two additional groups of model as well. GARCH and some extension, Extreme value theory.
There is a Scientific paper entitled :
( Training HMM structure with genetic algorithm for biological sequence analysis)
This is the abstract :
Hidden Markov models (HMMs) are widely used for biological sequence analysis because of their ability to incorporate biological information in their structure. An automatic means of optimizing the structure of HMMs would be highly desirable. However, this raises two important issues; first, the new HMMs should be biologically interpretable, and second, we need to control the complexity of the HMM so that it has good generalization performance on unseen sequences. In this paper, we explore the possibility of using a genetic algorithm (GA) for optimizing the HMM structure. GAs are sufficiently flexible to allow incorporation of other techniques such as Baum-Welch training within their evolutionary cycle. Furthermore, operators that alter the structure of HMMs can be designed to favour interpretable and simple structures. In this paper, a training strategy using GAs is proposed, and it is tested on finding HMM structures for the promoter and coding region of the bacterium Campylobacter jejuni. The proposed GA for hidden Markov models (GA-HMM) allows, HMMs with different numbers of states to evolve. To prevent over-fitting, a separate dataset is used for comparing the performance of the HMMs to that used for the Baum-Welch training. The GA-HMM was capable of finding an HMM comparable to a hand-coded HMM designed for the same task, which has been published previously.
I recommend to read this paper .
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