# Comparison of Uncertainty Quantification with Deep Learning in Time Series Regression

arXiv: https://arxiv.org/abs/2211.06233 · HTML: https://mlsanity.com/paper/2211.06233/

## Key facts

- Cited by 3 papers in the map (data through 14 Oct 2026).
- Builds on 10 of its 16 references that are in the map.
- First posted on arXiv 11 Nov 2022.

## Builds on (most cited first, 10 of 10)

- [On Calibration of Modern Neural Networks](https://mlsanity.com/paper/1706.04599/) (2017)
- [Simple and Scalable Predictive Uncertainty Estimation using Deep Ensembles](https://mlsanity.com/paper/1612.01474/) (2016)
- [What Uncertainties Do We Need in Bayesian Deep Learning for Computer Vision?](https://mlsanity.com/paper/1703.04977/) (2017)
- [AugMix: A Simple Data Processing Method to Improve Robustness and Uncertainty](https://mlsanity.com/paper/1912.02781/) (2019)
- [A Survey of Uncertainty in Deep Neural Networks](https://mlsanity.com/paper/2107.03342/) (2021)
- [Weight Uncertainty in Neural Networks](https://mlsanity.com/paper/1505.05424/) (2015)
- [Flipout: Efficient Pseudo-Independent Weight Perturbations on Mini-Batches](https://mlsanity.com/paper/1803.04386/) (2018)
- [The Limits and Potentials of Deep Learning for Robotics](https://mlsanity.com/paper/1804.06557/) (2018)
- [DropConnect Is Effective in Modeling Uncertainty of Bayesian Deep Networks](https://mlsanity.com/paper/1906.04569/) (2019)
- [I Find Your Lack of Uncertainty in Computer Vision Disturbing](https://mlsanity.com/paper/2104.08188/) (2021)

## Built on by (most cited first, 3 of 3)

- [GA-SmaAt-GNet: Generative Adversarial Small Attention GNet for Extreme Precipitation Nowcasting](https://mlsanity.com/paper/2401.09881/) (2024)
- [Forecasting Workload in Cloud Computing: Towards Uncertainty-Aware Predictions and Transfer Learning](https://mlsanity.com/paper/2303.13525/) (2023)
- [Forecasting Anomaly Precursors via Uncertainty-Aware Time-Series Ensembles](https://mlsanity.com/paper/2602.17028/) (2026)

## Abstract (arXiv)

Increasingly high-stakes decisions are made using neural networks in order to make predictions. Specifically, meteorologists and hedge funds apply these techniques to time series data. When it comes to prediction, there are certain limitations for machine learning models (such as lack of expressiveness, vulnerability of domain shifts and overconfidence) which can be solved using uncertainty estimation. There is a set of expectations regarding how uncertainty should ``behave". For instance, a wider prediction horizon should lead to more uncertainty or the model's confidence should be proportional to its accuracy. In this paper, different uncertainty estimation methods are compared to forecast meteorological time series data and evaluate these expectations. The results show how each uncertainty estimation method performs on the forecasting task, which partially evaluates the robustness of predicted uncertainty.