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stat.ML2019★ 13 cited
Deep Generative Quantile-Copula Models for Probabilistic Forecasting
Ruofeng Wen, Kari Torkkola
We introduce a new category of multivariate conditional generative models and demonstrate its performance and versatility in probabilistic time series forecasting and simulation. S…
stat.ML2017★ 254 cited
A Multi-Horizon Quantile Recurrent Forecaster
Ruofeng Wen, Kari Torkkola, Balakrishnan Narayanaswamy +1
We propose a framework for general probabilistic multi-step time series regression. Specifically, we exploit the expressiveness and temporal nature of Sequence-to-Sequence Neural N…