Auxiliary Quantile Forecasting with Linear Networks
利用线性网络进行辅助分位数预测
We propose a novel multi-task method for quantile forecasting with shared Linear layers. Our method is based on the Implicit quantile learning approach, where samples from the Uniform distribution $\mathcal{U}(0, 1)$ are reparameterized to quantile values of the target distribution. We combine the implicit quantile and input time series representations to directly forecast multiple quantile estimations for multiple horizons jointly. Prior works have adopted a Linear layer…