Wavelet-support vector machine for forecasting palm oil price

Ani Shabri, Mohd Fahmi Abdul Hamid
2019 Malaysian Journal of Fundamental and Applied Sciences  
This study examines the feasibility of applying Wavelet-Support Vector Machine (W-SVM) model in forecasting palm oil price. The conjunction method wavelet-support vector machine (W-SVM) is obtained by the integration of discrete wavelet transform (DWT) method and support vector machine (SVM). In W-SVM model, wavelet transform is used to decompose data series into two parts; approximation series and details series. This decomposed series were then used as the input to the SVM model to forecast
more » ... model to forecast the palm oil price. This study also utilizes the application of partial correlation-based input variable selection as the preprocessing steps in determining the best input to the model. The performance of the W-SVM model was then compared with the classical SVM model and also artificial neural network (ANN) model. The empirical result shows that the addition of wavelet technique in W-SVM model enhances the forecasting performance of classical SVM and performs better than ANN.
doi:10.11113/mjfas.v15n3.1149 fatcat:pxznvbf2tbevzdamk53zyiysyi