Deep Generative Quantile-Copula Models for Probabilistic Forecasting

Abstract

We introduce a new category of multivariate conditional generative models and demonstrate its performance and versatility in probabilistic time series forecasting and simulation. Specifically, the output of quantile regression networks is expanded from a set of fixed quantiles to the whole Quantile Function by a univariate mapping from a latent uniform distribution to the target distribution. Then the multivariate case is solved by learning such quantile functions for each dimension's marginal distribution, followed by estimating a conditional Copula to associate these latent uniform random variables. The quantile functions and copula, together defining the joint predictive distribution, can be parameterized by a single implicit generative Deep Neural Network.

Published at the 36th International Conference on Machine Learning (ICML2019), Time Series Workshop, Long Beach, California, 2019