most citedEnsemble Conformalized Quantile Regression for Probabilistic Time Series Forecasting

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cs.LG2022★ 81 cited

Ensemble Conformalized Quantile Regression for Probabilistic Time Series Forecasting

Vilde Jensen, Filippo Maria Bianchi, Stian Norman Anfinsen

This paper presents a novel probabilistic forecasting method called ensemble conformalized quantile regression (EnCQR). EnCQR constructs distribution-free and approximately margina…