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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…