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ProbPNN: Enhancing Deep Probabilistic Forecasting with Statistical Information

arXiv 2302.02597 ↗First posted 6 Feb 2023cs.LG cs.AIcited by 0

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Abstract (arXiv)

Probabilistic forecasts are essential for various downstream applications such as business development, traffic planning, and electrical grid balancing. Many of these probabilistic forecasts are performed on time series data that contain calendar-driven periodicities. However, existing probabilistic forecasting methods do not explicitly take these periodicities into account. Therefore, in the present paper, we introduce a deep learning-based method that considers these calendar-driven periodicities explicitly. The present paper, thus, has a twofold contribution: First, we apply statistical methods that use calendar-driven prior knowledge to create rolling statistics and combine them with neural networks to provide better probabilistic forecasts. Second, we benchmark ProbPNN with state-of-the-art benchmarks by comparing the achieved normalised continuous ranked probability score (nCRPS) and normalised Pinball Loss (nPL) on two data sets containing in total more than 1000 time series. The results of the benchmarks show that using statistical forecasting components improves the probabilistic forecast performance and that ProbPNN outperforms other deep learning forecasting methods whilst requiring less computation costs.

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References · 13

  1. 2020Informer: Beyond Efficient Transformer for Long Sequence Time-Series Forecastingcited by 2,141
  2. 2021Autoformer: Decomposition Transformers with Auto-Correlation for Long-Term Series Forecastingcited by 1,654
  3. 2017DeepAR: Probabilistic Forecasting with Autoregressive Recurrent Networkscited by 1,004
  4. 2019Temporal Fusion Transformers for Interpretable Multi-horizon Time Series Forecastingcited by 748
  5. 2019N-BEATS: Neural basis expansion analysis for interpretable time series forecastingcited by 744
  6. 2019Recurrent Neural Networks for Time Series Forecasting: Current Status and Future Directionscited by 172
  7. 2019High-Dimensional Multivariate Forecasting with Low-Rank Gaussian Copula Processescited by 147
  8. 2022N-HiTS: Neural Hierarchical Interpolation for Time Series Forecastingcited by 146
  9. 2020Beyond Pinball Loss: Quantile Methods for Calibrated Uncertainty Quantificationcited by 77
  10. 2021Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSxcited by 63
  11. 2022Multivariate Quantile Function Forecastercited by 19
  12. 2021pyWATTS: Python Workflow Automation Tool for Time Seriescited by 9
1 more
  1. 2019Probabilistic Energy Forecasting using Quantile Regressions based on a new Nearest Neighbors Quantile Filtercited by 3

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