Related papers: Forecast combination based forecast reconciliation…
Existing hierarchical forecasting techniques scale poorly when the number of time series increases. We propose to learn a coherent forecast for millions of time series with a single bottom-level forecast model by using a sparse loss…
We introduce a Loss Discounting Framework for model and forecast combination which generalises and combines Bayesian model synthesis and generalized Bayes methodologies. We use a loss function to score the performance of different models…
Conformal prediction (CP) has been a popular method for uncertainty quantification because it is distribution-free, model-agnostic, and theoretically sound. For forecasting problems in supervised learning, most CP methods focus on building…
Time series forecasting serves as an essential tool for many real-world applications, supporting tasks such as resource optimization and decision-making. Despite significant architectural advancements, most modern models still treat…
We assess the advantage of combining univariate and multivariate portfolio risk forecasts with the aid of forecast reconciliation techniques. In our analyzes, we assume knowledge of portfolio weights, a standard for portfolio risk…
Cross-matching operation, which is to find corresponding data for the same celestial object or region from multiple catalogues,is indispensable to astronomical data analysis and research. Due to the large amount of astronomical catalogues…
Conformal Prediction (CP) is a powerful statistical machine learning tool to construct uncertainty sets with coverage guarantees, which has fueled its extensive adoption in generating prediction regions for decision-making tasks, e.g.,…
Multi-view clustering is a learning paradigm based on multi-view data. Since statistic properties of different views are diverse, even incompatible, few approaches implement multi-view clustering based on the concatenated features…
Cumulative prospect theory (CPT) is known to model human decisions well, with substantial empirical evidence supporting this claim. CPT works by distorting probabilities and is more general than the classic expected utility and coherent…
We present a scheme by which a probabilistic forecasting system whose predictions have poor probabilistic calibration may be recalibrated by incorporating past performance information to produce a new forecasting system that is demonstrably…
In a sequential regression setting, a decision-maker may be primarily concerned with whether the future observation will increase or decrease compared to the current one, rather than the actual value of the future observation. In this…
We revisit the interest of classical statistical techniques for sales forecasting like exponential smoothing and extensions thereof (as Holt's linear trend method). We do so by considering ensemble forecasts, given by several instances of…
We propose a multi-scale extension of conformal prediction, an approach that constructs prediction sets with finite-sample coverage guarantees under minimal statistical assumptions. Classic conformal prediction relies on a single notion of…
We propose Bayesian Conformal Prediction (BCP), a framework that combines Bayesian posterior predictive distributions with PAC-style conformal risk control to produce prediction sets with finite-sample coverage guarantees. Standard…
Low-rank tensor completion (LRTC) aims to recover a complete low-rank tensor from incomplete observed tensor, attracting extensive attention in various practical applications such as image processing and computer vision. However, current…
Conformal prediction is a simple and powerful tool that can quantify uncertainty without any distributional assumptions. Many existing methods only address the average coverage guarantee, which is not ideal compared to the stronger…
Short-term probabilistic wind power forecasting can provide critical quantified uncertainty information of wind generation for power system operation and control. As the complicated characteristics of wind power prediction error, it would…
Forecast aggregation combines the predictions of multiple forecasters to improve accuracy. However, the lack of knowledge about forecasters' information structure hinders optimal aggregation. Given a family of information structures, robust…
Time series forecasting plays an increasingly important role in modern business decisions. In today's data-rich environment, people often aim to choose the optimal forecasting model for their data. However, identifying the optimal model…
Quantifying forecast uncertainty is a key aspect of state-of-the-art numerical weather prediction and data assimilation systems. Ensemble-based data assimilation systems incorporate state-dependent uncertainty quantification based on…