Optimal Pruned K-Nearest Neighbors: OP-KNN Application to Financial Modeling

Q. Yu, A. Sorjamaa, Y. Miche, A. Lendasse, Eric Séverin, A. Guillen, F. Mateo
2008 2008 Eighth International Conference on Hybrid Intelligent Systems  
The paper proposes a methodology called OP-KNN, which builds a one hidden-layer feedforward neural network, using nearest neighbors neurons with extremely small computational time. The main strategy is to select the most relevant variables beforehand, then to build the model using KNN kernels. Multiresponse Sparse Regression (MRSR) is used as the second step in order to rank each k th nearest neighbor and finally as a third step Leave-One-Out estimation is used to select the number of neighbors
more » ... and to estimate the generalization performances. This new methodology is tested on a toy example and is applied to financial modeling.
doi:10.1109/his.2008.134 dblp:conf/his/YuSMLSGM08 fatcat:dnopiubthreivfibtbelh43c24