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stat.ML2026
Model selection with proper scoring rules on data sets of time series: prefer the mean scaled score
Giorgio Corani, Stefano Damato, Dario Azzimonti +1
We study the problem of model selection among probabilistic forecasting models evaluated on datasets of multiple time series. The performance of a model on a single time series is…
stat.ML2022
Efficient probabilistic reconciliation of forecasts for real-valued and count time series
Lorenzo Zambon, Dario Azzimonti, Giorgio Corani
Hierarchical time series are common in several applied fields. The forecasts for these time series are required to be coherent, that is, to satisfy the constraints given by the hie…
stat.ML2021
The Fourier Discrepancy Function
Auricchio Gennaro, Codegoni Andrea, Gualandi Stefano +1
In this paper, we propose the Fourier Discrepancy Function, a new discrepancy to compare discrete probability measures. We show that this discrepancy takes into account the geometr…