相关论文: On the Design and use of Ensembles of Multi-model …

Forecast combinations have flourished remarkably in the forecasting community and, in recent years, have become part of the mainstream of forecasting research and activities. Combining multiple forecasts produced from single (target) series…

Forecasting with longitudinal data has been rarely studied. Most of the available studies are for continuous response and all of them are for univariate response. In this study, we consider forecasting multivariate longitudinal binary data.…

When making predictions about ecosystems, we often have available a number of different ecosystem models that attempt to represent their dynamics in a detailed mechanistic way. Each of these can be used as simulators of large-scale…

A general challenge in statistics is prediction in the presence of multiple candidate models or learning algorithms. Model aggregation tries to combine all predictive distributions from individual models, which is more stable and flexible…

The predictive advantage of combining several different predictive models is widely accepted. Particularly in time series forecasting problems, this combination is often dynamic to cope with potential non-stationary sources of variation…

Uncertainty around multimodel ensemble forecasts of changes in future climate reduces the accuracy of those forecasts. For very uncertain forecasts this effect may mean that the forecasts should not be used. We investigate the use of the…

Forecasts support decision making in a variety of applications. Statistical models can produce accurate forecasts given abundant training data, but when data is sparse, rapidly changing, or unavailable, statistical models may not be able to…

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 combination and model averaging have become popular tools in forecasting and prediction, both of which combine a set of candidate estimates with certain weights and are often shown to outperform single estimates. A data-driven…

The method of model averaging has become an important tool to deal with model uncertainty, for example in situations where a large amount of different theories exist, as are common in economics. Model averaging is a natural and formal…

Sparse and irregularly sampled multivariate time series are common in clinical, climate, financial and many other domains. Most recent approaches focus on classification, regression or forecasting tasks on such data. In forecasting, it is…

Forecast combinations have been widely applied in the last few decades to improve forecasting. Estimating optimal weights that can outperform simple averages is not always an easy task. In recent years, the idea of using time series…

Uncertainty quantification is crucial to decision-making. A prominent example is probabilistic forecasting in numerical weather prediction. The dominant approach to representing uncertainty in weather forecasting is to generate an ensemble…

For a Bayesian, real-time forecasting with the posterior predictive distribution can be challenging for a variety of time series models. First, estimating the parameters of a time series model can be difficult with sample-based approaches…

Probabilistic forecasting in combination with stochastic programming is a key tool for handling the growing uncertainties in future energy systems. Derived from a general stochastic programming formulation for the optimal scheduling and…

Predictive distributions need to be aggregated when probabilistic forecasts are merged, or when expert opinions expressed in terms of probability distributions are fused. We take a prediction space approach that applies to discrete, mixed…

The Bayesian statistical paradigm provides a principled and coherent approach to probabilistic forecasting. Uncertainty about all unknowns that characterize any forecasting problem -- model, parameters, latent states -- is able to be…

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 models are often used to inform real world risk assessment tasks: predicting consumer default risk, predicting whether a person suffers from a serious illness, or predicting a person's risk to appear in court. Given…

I overview recent research advances in Bayesian state-space modeling of multivariate time series. A main focus is on the decouple/recouple concept that enables application of state-space models to increasingly large-scale data, applying to…