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Related papers: Forecast Combination Under Heavy-Tailed Errors

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This study proposes a novel method for forecasting a scalar variable based on high-dimensional predictors that is applicable to various data distributions. In the literature, one of the popular approaches for forecasting with many…

Methodology · Statistics 2024-02-28 Seeun Park , Hee-Seok Oh , Yaeji Lim

We propose an analytical approach to the computation of tail probabilities of compound distributions whose individual components have heavy tails. Our approach is based on the contour integration method, and gives rise to a representation…

Computational Finance · Quantitative Finance 2017-10-04 Igor Halperin

Probabilistic load forecasts provide comprehensive information about future load uncertainties. In recent years, many methodologies and techniques have been proposed for probabilistic load forecasting. Forecast combination, a widely…

Applications · Statistics 2018-03-20 Yi Wang , Ning Zhang , Yushi Tan , Tao Hong , Daniel Kirschen , Chongqing Kang

A model-based approach to forecasting chaotic dynamical systems utilizes knowledge of the physical processes governing the dynamics to build an approximate mathematical model of the system. In contrast, machine learning techniques have…

Machine Learning · Computer Science 2018-05-09 Jaideep Pathak , Alexander Wikner , Rebeckah Fussell , Sarthak Chandra , Brian Hunt , Michelle Girvan , Edward Ott

Combining forecast from different models has shown to perform better than single forecast in most time series. To improve the quality of forecast we can go for combining forecast. We study the effect of decomposing a series into multiple…

Applications · Statistics 2013-03-04 Manisha Gahirwal

Recently, high-dimensional heterogeneous data have attracted a lot of attention and discussion. Under heterogeneity, semiparametric regression is a popular choice to model data in statistics. In this paper, we take advantages of expectile…

Statistics Theory · Mathematics 2019-08-20 Jun Zhao , Guan'ao Yan , Yi Zhang

In the study of heavy tail data, several models have been introduced. If the interest is in the tail of the distribution, block maxima or excess over thresholds are the typical approaches, wasting relevant information in the bulk of the…

Methodology · Statistics 2026-02-10 Luis E. Nieto-Barajas

Long-range ensemble forecasts are typically verified as anomalies with respect to a lead-time dependent climatological mean to remove the influence of systematic biases. However, common methods for calculating anomalies result in…

Atmospheric and Oceanic Physics · Physics 2025-06-11 Christopher D. Roberts , Martin Leutbecher

When climate forecasts are highly uncertain, the optimal mean squared error strategy is to ignore them. When climate forecasts are highly certain, the optimal mean squared error strategy is to use them as is. In between these two extremes…

Atmospheric and Oceanic Physics · Physics 2009-12-23 Stephen Jewson , Ed Hawkins

Intermittent demand forecasting is a ubiquitous and challenging problem in production systems and supply chain management. In recent years, there has been a growing focus on developing forecasting approaches for intermittent demand from…

Applications · Statistics 2022-09-01 Li Li , Yanfei Kang , Fotios Petropoulos , Feng Li

In a recent paper, while elucidating the links between forecast combination and cross-sectional forecast reconciliation, Hollyman et al. (2021) have proposed a forecast combination-based approach to the reconciliation of a simple hierarchy.…

Applications · Statistics 2021-06-11 Tommaso Di Fonzo , Daniele Girolimetto

Heavy tailed distributions present a tough setting for inference. They are also common in industrial applications, particularly with Internet transaction datasets, and machine learners often analyze such data without considering the biases…

Applications · Statistics 2016-10-14 Matt Taddy , Hedibert Freitas Lopes , Matt Gardner

Quantifying uncertainty in weather forecasts is critical, especially for predicting extreme weather events. This is typically accomplished with ensemble prediction systems, which consist of many perturbed numerical weather simulations, or…

Machine Learning · Computer Science 2021-03-17 Peter Grönquist , Chengyuan Yao , Tal Ben-Nun , Nikoli Dryden , Peter Dueben , Shigang Li , Torsten Hoefler

Forecast reconciliation is a post-forecasting process that involves transforming a set of incoherent forecasts into coherent forecasts which satisfy a given set of linear constraints for a multivariate time series. In this paper we extend…

Methodology · Statistics 2023-12-25 Daniele Girolimetto , George Athanasopoulos , Tommaso Di Fonzo , Rob J Hyndman

Deep probabilistic forecasting is gaining attention in numerous applications ranging from weather prognosis, through electricity consumption estimation, to autonomous vehicle trajectory prediction. However, existing approaches focus on…

Machine Learning · Computer Science 2022-03-04 Jedrzej Kozerawski , Mayank Sharan , Rose Yu

One essential component of operational space weather forecasting is the prediction of solar flares. With a multitude of flare forecasting methods now available online it is still unclear which of these methods performs best, and none are…

Space Physics · Physics 2020-08-04 Jordan A. Guerra , Sophie A. Murray , D. Shaun Bloomfield , Peter T. Gallagher

Predicting chaotic dynamical systems is critical in many scientific fields, such as weather forecasting, but challenging due to the characteristic sensitive dependence on initial conditions. Traditional modeling approaches require extensive…

Machine Learning · Computer Science 2025-03-12 Christof Schötz , Alistair White , Maximilian Gelbrecht , Niklas Boers

The importance of accurately quantifying forecast uncertainty has motivated much recent research on probabilistic forecasting. In particular, a variety of deep learning approaches has been proposed, with forecast distributions obtained as…

Machine Learning · Statistics 2024-11-11 Benedikt Schulz , Lutz Köhler , Sebastian Lerch

We introduce a dynamic approach to probabilistic forecast reconciliation at scale. Our model differs from the existing literature in this area in several important ways. Firstly we explicitly allow the weights allocated to the base…

Methodology · Statistics 2024-09-20 Ross Hollyman , Fotios Petropoulos , Michael E. Tipping

We investigate a way of comparing and classifying tails of random variables. Our approach extends the notion of classical indices, such as exponential and moment indices, which are widely used measuring heaviness of tail functions. A…

Probability · Mathematics 2013-10-07 Jaakko Lehtomaa