Re: [Gretl-users] Machine Learning in Gretl

Hello again, I was away for a few days. Back to this issue. I find this interesting too. Periklis, if you've successfully used libsvm ​In my research I have used Support Vector Machines/Regression in forecasting both financial and macroeconomic variables (I attach two relevant papers, one on exchange rate forecasting and one on housing prices ). These applications of ML were coded using matlab. The thing with the SVM/R is to fine-tune the hyperparameters and the kernel parameters. Libsvm already provides ready wrappers for matlab and R that are used to import values and export results (available in their page). The main optimization routine is written in C so it is quite fast. All you need to build is the wrapper to link libsvm libraries with gretl. Of course you could also develop you own functions for cross validation training and parameter seach. That shouldn't be that hard. It would be nice to be able to use Gretl for Machine Learning! ​