Time Series analysis has become very popular topic in the recent past among the research in the realm of data mining. A time series is basically a well defined data set obtained through repeated measurements over a specific time period. Applications such as hourly measurement of humidity and air temperature, daily closing price of a company stock, monthly rainfall data and yearly sales are good examples of time series.
Understanding the underline structure of time series will help to develop a mathematical model that later can be used for control, prediction, etc. Time series analysis has several important applications. One application is preventing undesirable events by forecasting the event. Another application is forecasting undesirable, yet unavoidable, events to preemptively lessen their impact. And more interestingly for people those who want to earn good profit for their investments it is good to concern about predictions.
This research involves analyzing of a public domain data set using several techniques namely Support Vector Machines, Feed Forward Neural Network and Non linear Regression. Performances are compared and discussed. In addition a cost sensitive analysis is also performed.
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