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stat.ME2026
Volatility-Corrected Prediction Intervals: Locally Adaptive Uncertainty Quantification for Probabilistic Time-Series Forecasting
Jason B. Cho, David S. Matteson
Prediction intervals from probabilistic time-series forecasters are commonly assessed by marginal coverage, the long-run proportion of observations falling inside the intervals. Ho…
stat.ME2026
BASTION: A Bayesian Framework for Trend and Seasonality Decomposition
Jason B. Cho, David S. Matteson
We introduce BASTION (Bayesian Adaptive Seasonality and Trend DecompositION), a flexible Bayesian framework for decomposing time series into trend and multiple seasonality componen…