# Probabilistic AutoRegressive Neural Networks for Accurate Long-range Forecasting

arXiv: https://arxiv.org/abs/2204.09640 · HTML: https://mlsanity.com/paper/2204.09640/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 6 of its 48 references that are in the map.
- First posted on arXiv 1 Apr 2022.

## Builds on (most cited first, 6 of 6)

- [DeepAR: Probabilistic Forecasting with Autoregressive Recurrent Networks](https://mlsanity.com/paper/1704.04110/) (2017)
- [N-BEATS: Neural basis expansion analysis for interpretable time series forecasting](https://mlsanity.com/paper/1905.10437/) (2019)
- [Deep Transformer Models for Time Series Forecasting: The Influenza Prevalence Case](https://mlsanity.com/paper/2001.08317/) (2020)
- [Darts: User-Friendly Modern Machine Learning for Time Series](https://mlsanity.com/paper/2110.03224/) (2021)
- [Probabilistic Forecasting with Temporal Convolutional Neural Network](https://mlsanity.com/paper/1906.04397/) (2019)
- [Optimized ensemble deep learning framework for scalable forecasting of dynamics containing extreme events](https://mlsanity.com/paper/2106.08968/) (2021)

## Abstract (arXiv)

Forecasting time series data is a critical area of research with applications spanning from stock prices to early epidemic prediction. While numerous statistical and machine learning methods have been proposed, real-life prediction problems often require hybrid solutions that bridge classical forecasting approaches and modern neural network models. In this study, we introduce the Probabilistic AutoRegressive Neural Networks (PARNN), capable of handling complex time series data exhibiting non-stationarity, nonlinearity, non-seasonality, long-range dependence, and chaotic patterns. PARNN is constructed by improving autoregressive neural networks (ARNN) using autoregressive integrated moving average (ARIMA) feedback error, combining the explainability, scalability, and "white-box-like" prediction behavior of both models. Notably, the PARNN model provides uncertainty quantification through prediction intervals, setting it apart from advanced deep learning tools. Through comprehensive computational experiments, we evaluate the performance of PARNN against standard statistical, machine learning, and deep learning models, including Transformers, NBeats, and DeepAR. Diverse real-world datasets from macroeconomics, tourism, epidemiology, and other domains are employed for short-term, medium-term, and long-term forecasting evaluations. Our results demonstrate the superiority of PARNN across various forecast horizons, surpassing the state-of-the-art forecasters. The proposed PARNN model offers a valuable hybrid solution for accurate long-range forecasting. By effectively capturing the complexities present in time series data, it outperforms existing methods in terms of accuracy and reliability. The ability to quantify uncertainty through prediction intervals further enhances the model's usefulness in decision-making processes.