Forecasting and change point test for nonlinear heteroscedastic time series based on support vector regression.

SVR-ARMA-GARCH models provide flexible model fitting and good predictive powers for nonlinear heteroscedastic time series datasets. In this study, we explore the change point detection problem in the SVR-ARMA-GARCH model using the residual-based CUSUM test. For this task, we propose an alternating recursive estimation (ARE) method to improve the estimation accuracy of residuals.

Using the Kriging Correlation for unsupervised feature selection problems.

This paper proposes a KC Score to measure feature importance in clustering analysis of high-dimensional data. The KC Score evaluates the contribution of features based on the correlation between the original features and the reconstructed features in the low dimensional latent space. A KC Score-based feature selection strategy is further developed for clustering analysis.