2011
DOI: 10.1109/tnn.2010.2087769
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Approximate Confidence and Prediction Intervals for Least Squares Support Vector Regression

Abstract: Bias-corrected approximate 100(1-α)% pointwise and simultaneous confidence and prediction intervals for least squares support vector machines are proposed. A simple way of determining the bias without estimating higher order derivatives is formulated. A variance estimator is developed that works well in the homoscedastic and heteroscedastic case. In order to produce simultaneous confidence intervals, a simple Šidák correction and a more involved correction (based on upcrossing theory) are used. The obtained co… Show more

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Cited by 119 publications
(55 citation statements)
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“…Once G , A, R and are determined, optimal values of fixed effects, random effects and the Lagrange multipliers are determined from Eq. (20) , and plugged into Eq. (17) .…”
Section: Regression Equationmentioning
confidence: 99%
See 2 more Smart Citations
“…Once G , A, R and are determined, optimal values of fixed effects, random effects and the Lagrange multipliers are determined from Eq. (20) , and plugged into Eq. (17) .…”
Section: Regression Equationmentioning
confidence: 99%
“…De Brabanter et al [20] proposed a method for approximating 100(1-a )% confidence and prediction intervals for conditional expectation from a least squares support vector machine, that does not require explicit calculation of the bias. Assuming that the observations can be written as a mean function f ( x ) and a standard deviation function σ ( x ),…”
Section: Pointwise Confidence and Prediction Intervalsmentioning
confidence: 99%
See 1 more Smart Citation
“…Distribution free decomposition of multivariate data. Pattern Analysis and Applications, 2(1): [22][23][24][25][26][27][28][29][30]1999.…”
Section: Monolithic Detectionmentioning
confidence: 99%
“…With the estimated bias and variance given in De Brabanter et al (2011a), an approximate 100(1 − α)% pointwise confidence interval for m ism…”
Section: Pointwise Confidence Intervalsmentioning
confidence: 99%