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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…

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An adaptive standardisation methodology for Day-Ahead electricity price forecasting

日前电价预测的自适应标准化方法

The study of Day-Ahead prices in the electricity market is one of the most popular problems in time series forecasting. Previous research has focused on employing increasingly complex learning algorithms to capture the sophisticated dynamics of the market. However, there is a threshold where increased complexity fails to yield substantial improvements. In this work, we propose an alternative approach by introducing an adaptive standardisation to mitigate the effects of…

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