Feature extraction in support vector machine: a comparison of PCA, XPCA and ICA

Abstract

Recently, support vector machine (SVM) has become a popular tool in time series forecasting. In developing a successful SVM forecaster, feature extraction is the first important step. This paper proposes the applications of principal component analysis (PCA), kernel principal component analysis (KPCA) and independent component analysis (ICA) to SVM for feature extraction. PCA linearly transforms the original inputs into uncorrelated features. KPCA is a nonlinear PCA developed by using the kernel method. In ICA, the original inputs are linearly transformed into statistically independent features. By examining the sunspot data and one real futures contract, the experiment shows that SVM by feature extraction using PCA, KPCA or ICA can perform better than that without feature extraction. Furthermore, there is better generalization performance in KPCA and ICA feature extraction than PCA feature extraction.