Time Series Prediction and Pattern recognition RRS feed

  • Question

  • Hello,

    I am new to Infer.NET and I was wondering if there is any possibility to use it for TimeSeries Prediction and Pattern Recognition...

    The main idea is to load an huge time series and use infer.net to understand if there is any consolidated pattern.... and eventually build a model to forecast future values...

    the main application field is financial market (eg FX) where you have huge SIMPLE time series (date and value) to train your network and where you can find some pattern to forecast the trend.

    let me know if you think that Infer.Net could help me and witch area should I look into to achieve it.

    Thanks Stelio

    Friday, November 18, 2011 11:13 AM


  • Infer.NET allows you to fit a variety of time-series models to data and use them for prediction.  We don't have any examples of this yet, so you will have to choose from the models in the literature.  Some popular linear models are ARMA and GARCH.  For a nonlinear approach, you could replace the linear part with a Gaussian Process, as in Gaussian Process autoregression.
    Tuesday, November 22, 2011 9:37 AM