Long-term prediction of nonlinear time series

Least squares support vector machines are used as nonlinear models in order to avoid local minima problems. Then prediction task is re-formulated as function approximation task.

Recurrent LS-SVM uses nonlinear autoregressive exogenous (NARX) model to build nonlinear regressor, by estimating in each iteration the next output value, given the past output and input measurements.