Conformal prediction bands for two-dimensional functional time series

DOI10.1016/J.CSDA.2023.107821MaRDI QIDQ6096674zbMATH OpenOpenAlexFDO

Authors Niccolò Ajroldi, Jacopo Diquigiovanni, Matteo Fontana, Simone Vantini

Publication date 15 September 2023

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2207.13656

zbMATH Keywords

conformal predictionforecastingfunctional autoregressive processfunctional time seriestwo-dimensional functional datauncertainty quantification

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Abstract: Conformal Prediction (CP) is a versatile nonparametric framework used to quantify uncertainty in prediction problems. In this work, we provide an extension of such method to the case of time series of functions defined on a bivariate domain, by proposing for the first time a distribution-free technique which can be applied to time-evolving surfaces. In order to obtain meaningful and efficient prediction regions, CP must be coupled with an accurate forecasting algorithm, for this reason, we extend the theory of autoregressive processes in Hilbert space in order to allow for functions with a bivariate domain. Given the novelty of the subject, we present estimation techniques for the Functional Autoregressive model (FAR). A simulation study is implemented, in order to investigate how different point predictors affect the resulting prediction bands. Finally, we explore benefits and limits of the proposed approach on a real dataset, collecting daily observations of Sea Level Anomalies of the Black Sea in the last twenty years.

Recommendations

• A Conformal Approach for Distribution-free Prediction of Functional Data
• Conformal prediction bands for multivariate functional data
• A conformal prediction approach to explore functional data
• Functional methods for time series prediction: a nonparametric approach
• Shape-preserving prediction for stationary functional time series

Cited in

(7)

• Leveraging data exchangeability for a more reliable and interpretable functional data analysis
• JANET: Joint Adaptive predictioN-region Estimation for Time-series
• Developments in functional regression model for network structured data
• Real-time anomaly detection of spatial processes via functional conformal-prediction bands
• Conformal multistep-ahead multivariate time-series forecasting
• Conformal outlier detection for multivariate functional data
• Anomaly detection of functional data via conformal prediction

This page was built for publication: Conformal prediction bands for two-dimensional functional time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6096674)