Adaptive Multi-Scale Forecasting and Gate-Localized Conformal Prediction for Multivariate Nonstationary Time Series

Ziling Ma, Junshu Jiang, Ángel López-Oriona +2

We propose ABF-T-GLCP, a model-agnostic framework for forecasting and uncertainty quantification in nonstationary multivariate time series. The central idea is to learn an adaptive…