Nonlinear Combination Forecasting Method Based on Wavelet Support Vector Machines

Based on the kernel method of support vector machines (SVM) and wavelet frame theory, a new method called wavelet support vector machines (WSVM) is proposed. The method is applied to combination forecast, and an algorithm for constructing and training the forecast model of WSVM is presented. Simulation examples are also given to illustrate the effectiveness of the method comparing with the wavelet neural network and other methods.