Related papers: Point and probabilistic forecast reconciliation fo…
Generalized Disjunctive Programming (GDP) provides a powerful framework for combining algebraic constraints with logical disjunctions. To solve these problems, mixed-integer reformulations are required, but traditional reformulation…
Time series forecasting involves collecting and analyzing past observations to develop a model to extrapolate such observations into the future. Forecasting of future events is important in many fields to support decision making as it…
Probabilistic time series forecasting is crucial for quantifying future uncertainty, with significant applications in fields such as energy and finance. However, existing methods often rely on computationally expensive sampling or…
This work introduces a novel approach for generating conditional probabilistic rainfall forecasts with temporal and spatial dependence. A two-step procedure is employed. Firstly, marginal location-specific distributions are jointly…
Linear regression is a fundamental modeling tool in statistics and related fields. In this paper, we study an important variant of linear regression in which the predictor-response pairs are partially mismatched. We use an optimization…
Conformal prediction offers a powerful framework for building distribution-free prediction intervals for exchangeable data. Existing methods that extend conformal prediction to sequential data rely on fitting a relatively complex model to…
Machine learning is about forecasting. When the forecasts come with an evaluation metric the forecasts become useful. What are reasonable evaluation metrics? How do existing evaluation metrics relate? In this work, we provide a general…
We propose notions of calibration for probabilistic forecasts of general multivariate quantities. Probabilistic copula calibration is a natural analogue of probabilistic calibration in the univariate setting. It can be assessed empirically…
In statistics, forecast uncertainty is often quantified using a specified statistical model, though such approaches may be vulnerable to model misspecification, selection bias, and limited finite-sample validity. While bootstrapping can…
Time-series forecasting has gained significant attention in machine learning due to its crucial role in various domains. However, most existing forecasting models rely heavily on point-wise loss functions like Mean Square Error, which treat…
Projection predictive inference is a decision theoretic Bayesian approach that decouples model estimation from decision making. Given a reference model previously built including all variables present in the data, projection predictive…
Conformal prediction (CP) for regression can be challenging, especially when the output distribution is heteroscedastic, multimodal, or skewed. Some of the issues can be addressed by estimating a distribution over the output, but in…
Probabilistic hierarchical time-series forecasting is an important variant of time-series forecasting, where the goal is to model and forecast multivariate time-series that have underlying hierarchical relations. Most methods focus on point…
Probabilistic hierarchical time-series forecasting is an important variant of time-series forecasting, where the goal is to model and forecast multivariate time-series that have underlying hierarchical relations. Most methods focus on point…
A novel extrapolation method is proposed for longitudinal forecasting. A hierarchical Gaussian process model is used to combine nonlinear population change and individual memory of the past to make prediction. The prediction error is…
Time series forecasting is crucial for many fields, such as disaster warning, weather prediction, and energy consumption. The Transformer-based models are considered to have revolutionized the field of sequence modeling. However, the…
In this review article we consider linear regression analysis from a geometric perspective, looking at standard methods and outputs in terms of the lengths of the relevant vectors and the angles between these vectors. We show that standard…
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…
Calibration ensures that predicted uncertainties align with observed uncertainties. While there is an extensive literature on recalibration methods for univariate probabilistic forecasts, work on calibration for multivariate forecasts is…
In this paper, we propose \texttt{FGPR}: a Federated Gaussian process ($\mathcal{GP}$) regression framework that uses an averaging strategy for model aggregation and stochastic gradient descent for local client computations. Notably, the…