Enhancing reliability in prediction intervals using point forecasters: Heteroscedastic Quantile Regression and Width-Adaptive Conformal Inference
利用点预测增强预测区间可靠性:异方差分位数回归与宽度自适应共形推断
Constructing prediction intervals for time series forecasting is challenging, particularly when practitioners rely solely on point forecasts. While previous research has focused on creating increasingly efficient intervals, we argue that standard measures alone are inadequate. Beyond efficiency, prediction intervals must adapt their width based on the difficulty of the prediction while preserving coverage regardless of complexity. To address these issues, we propose…