Machine Learning for time series analysis ?

[lexx]

Comrades,



Could anyone point to research (academic, practitioners, etc.) on the application of machine learning techniques to time-series analysis, other than Neural Networks ?



I personally feel that when dealing with say time series of prices the situation is not the same as when figuring out what one would want to buy given his/her previous purchases.

There is a lot of shifting preferences through time (bubbles, etc), learning by market participants, non-stationarity, regime switching, etc. that may make applying ML techniques directly less effective.



Much appreciate any advice.

[superconductor]

Try Recurrent Neural Networks. Those suit time series analysis much better. Google Scholar is a good place to start.

[gelfand]

An old (1993) but good book is



Time Series Prediction: Forecasting The Future And Understanding The Past (Santa Fe Institute Series)

by Andreas S. Weigend (Author), Neil A. Gershenfeld (Editor)