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stat.ML2024
MVG-CRPS: A Robust Loss Function for Multivariate Probabilistic Forecasting
Vincent Zhihao Zheng, Lijun Sun
Multivariate Gaussian (MVG) distributions are central to modeling correlated continuous variables in probabilistic forecasting. Neural forecasting models typically parameterize the…
stat.ML2024
Multivariate Probabilistic Time Series Forecasting with Correlated Errors
Vincent Zhihao Zheng, Lijun Sun
Accurately modeling the correlation structure of errors is critical for reliable uncertainty quantification in probabilistic time series forecasting. While recent deep learning mod…
stat.ML2023
Better Batch for Deep Probabilistic Time Series Forecasting
Vincent Zhihao Zheng, Seongjin Choi, Lijun Sun
Deep probabilistic time series forecasting has gained attention for its ability to provide nonlinear approximation and valuable uncertainty quantification for decision-making. Howe…