Multivariate quantile function forecaster

K Kan, FX Aubet, T Januschowski… - International …, 2022 - proceedings.mlr.press
International Conference on Artificial Intelligence and Statistics, 2022proceedings.mlr.press
Abstract We propose Multivariate Quantile Function Forecaster (MQF2), a global
probabilistic forecasting method constructed using a multivariate quantile function and
investigate its application to multi-horizon forecasting. Prior approaches are either
autoregressive, implicitly capturing the dependency structure across time but exhibiting error
accumulation with increasing forecast horizons, or multi-horizon sequence-to-sequence
models, which do not exhibit error accumulation, but also do typically not model the …
Abstract
We propose Multivariate Quantile Function Forecaster (MQF2), a global probabilistic forecasting method constructed using a multivariate quantile function and investigate its application to multi-horizon forecasting. Prior approaches are either autoregressive, implicitly capturing the dependency structure across time but exhibiting error accumulation with increasing forecast horizons, or multi-horizon sequence-to-sequence models, which do not exhibit error accumulation, but also do typically not model the dependency structure across time steps. MQF2 combines the benefits of both approaches, by directly making predictions in the form of a multivariate quantile function, defined as the gradient of a convex function which we parametrize using input-convex neural networks. By design, the quantile function is monotone with respect to the input quantile levels and hence avoids quantile crossing. We provide two options to train MQF2: with energy score or with maximum likelihood. Experimental results on real-world and synthetic datasets show that our model has comparable performance with state-of-the-art methods in terms of single time step metrics while capturing the time dependency structure.
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