A Comparative Study of Multi-step-ahead Prediction for Crude Oil Price with Support Vector Regression

摘要：

Accurate prediction on crude oil price in a long time horizon has been appealing both for academia and practitioners. Recursive strategy and direct strategy are two mainstream modeling schemas widely used for multi-step-ahead prediction in the context of time series modeling.In this paper,a comparative study has been conducted to justify these two strategies in multistep-ahead prediction for crude oil price with Support Vector Regression (SVR).The experimental results show the direct strategy has more consistent performance than recursive one in the various experimental setting.

关键词： Crude Oil Price Predicition Multip-step-aheand Prediction Support Vector Regression Time Sereis Modeling

作者: Yukun Bao Yunfei Yang Tao Xiong Jinlong Zhang

作者单位: Department of Management Science & Information System,School of Management Huazhong University of Sc Department of Management Science & Information System,School of anagement Huazhong University of Sci

会议类型: 国际会议

会议名称: The Fourth International Joint Conference on Computational Science and Optimization(第四届计算科学与优化国际大会 CSO 2011)

会议地点: 昆明、丽江

会议语种:英文

页码: 598-602

在线出版日期: 2011-04-15（万方平台首次上网日期，不代表论文的发表时间）