相关论文: Comparing Sequential Forecasters

In this paper, we propose a machine learning approach for forecasting hierarchical time series. When dealing with hierarchical time series, apart from generating accurate forecasts, one needs to select a suitable method for producing…

Multivariate probabilistic time series forecasts are commonly evaluated via proper scoring rules, i.e., functions that are minimal in expectation for the ground-truth distribution. However, this property is not sufficient to guarantee good…

In this paper, we propose new sequential estimation methods based on inclusion principle. The main idea is to reformulate the estimation problems as constructing sequential random intervals and use confidence sequences to control the…

Conformal prediction is a statistically rigorous method for quantifying uncertainty in models by having them output sets of predictions, with larger sets indicating more uncertainty. However, prediction sets are not inherently actionable;…

This paper clarifies a fundamental difference between causal inference and traditional statistical inference by formalizing a mathematical distinction between their respective parameters. We connect two major approaches to causal inference,…

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…

We highlight a striking difference in behavior between two widely used variants of coordinate ascent variational inference: the sequential and parallel algorithms. While such differences were known in the numerical analysis literature in…

Time series forecasting with limited data is a challenging yet critical task. While transformers have achieved outstanding performances in time series forecasting, they often require many training samples due to the large number of…

Context: Software engineering has a problem in that when we empirically evaluate competing prediction systems we obtain conflicting results. Objective: To reduce the inconsistency amongst validation study results and provide a more formal…

This report first provides a brief overview of a number of supervised learning algorithms for regression tasks. Among those are neural networks, regression trees, and the recently introduced Nexting. Nexting has been presented in the…

We consider the problem of sequential evaluation, in which an evaluator observes candidates in a sequence and assigns scores to these candidates in an online, irrevocable fashion. Motivated by the psychology literature that has studied…

We use the martingale-theoretic approach of game-theoretic probability to incorporate imprecision into the study of randomness. In particular, we define several notions of randomness associated with interval, rather than precise,…

Forecast reconciliation has attracted significant research interest in recent years, with most studies taking the hierarchy of time series as given. We extend existing work that uses time series clustering to construct hierarchies, with the…

The classical paradigm of scoring rules is to discriminate between two different forecasts by comparing them with observations. The probability distribution of the observed record is assumed to be perfect as a verification benchmark. In…

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…

We ask if there are alternative contest models that minimize error or information loss from misspecification and outperform the Pythagorean model. This article aims to use simulated data to select the optimal expected win percentage model…

Probability forecasts are intended to account for the uncertainties inherent in forecasting. It is suggested that from an end-user's point of view probability is not necessarily sufficient to reflect uncertainties that are not simply the…

We present a simple reduction from sequential estimation to sequential changepoint detection (SCD). In short, suppose we are interested in detecting changepoints in some parameter or functional $\theta$ of the underlying distribution. We…

We provide methods to validate and compare sensor outputs, or inference algorithms applied to sensor data, by adapting statistical scoring rules. The reported output should either be in the form of a prediction interval or of a parameter…

Among recent developments in time series forecasting methods, deep forecasting models have gained popularity as they can utilize hidden feature patterns in time series to improve forecasting performance. Nevertheless, the majority of…