Wasserstein Exponential Smoothing for Distributional Time Series Forecasting
用于分布时间序列预测的 Wasserstein 指数平滑AI 解读 ↓
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用于分布时间序列预测的 Wasserstein 指数平滑AI 解读 ↓
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Distributional time series arise when each temporal observation is a probability distribution rather than a scalar. We propose Wasserstein exponential smoothing (WES), a one-parameter recursive forecasting method for distributional time series on $\mathbb{R}$. The method adapts the practical logic of classical exponential smoothing to probability distributions by updating forecast distributions along Wasserstein geodesics. This yields a simple filter that can be applied directly to empirical distributions without parametric density modeling. We estimate the smoothing parameter by minimizing an in-sample Wasserstein prediction loss and establish consistency under a distributional local-level data-generating process. In applications to high-frequency equity-index return distributions and household electricity-demand distributions, WES attains the lowest one-step-ahead Wasserstein prediction error among existing distributional autoregressive and regression-based benchmarks for all $20$ series considered, and is retained in the $90\%$ model confidence set in every case.
重复横截面与期内观测的分布动态分析
This paper introduces a novel approach to investigate the dynamics of state distributions, which accommodate both cross-sectional distributions of repeated panels and intra-period distributions of a time series observed at high frequency. In our approach, densities of the state distributions are regarded as functional elements in a Hilbert space, and are assumed to follow a functional autoregressive model. We propose an estimator for the autoregressive operator, establish…
多元非平稳时间序列的自适应多尺度预测与门控局部共形预测
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 predictive state representation for point forecasting and reuse it for conformal calibration. The forecasting module combines horizon-specific temporal experts through a learned gate and refines predictions using sparse predictive transfer across related series. The uncertainty module,…
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藤Copula VAR:从递归边际估计到联合预测推断
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时间序列共形预测的覆盖率:有效性与推断
Conformal prediction provides marginal coverage guarantees, yet practitioners may wonder if the observed coverage is truly abnormal or consistent with sampling variation. Inference for realized coverage has received comparatively little attention, especially for time series. We study split conformal prediction with adjacent calibration and test sets of temporally dependent data. Using the functional dependence measure, we derive non-asymptotic bounds on marginal coverage…