Probabilistic Time Series Forecasts with Autoregressive Transformation Models
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Abstract: Probabilistic forecasting of time series is an important matter in many applications and research fields. In order to draw conclusions from a probabilistic forecast, we must ensure that the model class used to approximate the true forecasting distribution is expressive enough. Yet, characteristics of the model itself, such as its uncertainty or its feature-outcome relationship are not of lesser importance. This paper proposes Autoregressive Transformation Models (ATMs), a model class inspired by various research directions to unite expressive distributional forecasts using a semi-parametric distribution assumption with an interpretable model specification. We demonstrate the properties of ATMs both theoretically and through empirical evaluation on several simulated and real-world forecasting datasets.
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Cited in
(6)- AA-forecast: anomaly-aware forecast for extreme events
- Time series modeling and forecasting by mathematical programming
- Autoregressive prediction with rolling mechanism for time series forecasting with small sample size
- Generative exponential smoothing and generative ARMA models to forecast time-variant rates or probabilities
- Forward and reversed time prediction of autoregressive sequences
- deeptrafo
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