# Beyond MSE: Ordinal Cross-Entropy for Probabilistic Time Series Forecasting

arXiv: https://arxiv.org/abs/2511.10200 · HTML: https://mlsanity.com/paper/2511.10200/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 19 of its 44 references that are in the map.
- First posted on arXiv 13 Nov 2025.

## Builds on (most cited first, 19 of 19)

- [Attention Is All You Need](https://mlsanity.com/paper/1706.03762/) (2017)
- [Informer: Beyond Efficient Transformer for Long Sequence Time-Series Forecasting](https://mlsanity.com/paper/2012.07436/) (2020)
- [A Time Series is Worth 64 Words: Long-term Forecasting with Transformers](https://mlsanity.com/paper/2211.14730/) (2022)
- [Understanding Black-box Predictions via Influence Functions](https://mlsanity.com/paper/1703.04730/) (2017)
- [Autoformer: Decomposition Transformers with Auto-Correlation for Long-Term Series Forecasting](https://mlsanity.com/paper/2106.13008/) (2021)
- [Multi-Task Learning Using Uncertainty to Weigh Losses for Scene Geometry and Semantics](https://mlsanity.com/paper/1705.07115/) (2017)
- [FEDformer: Frequency Enhanced Decomposed Transformer for Long-term Series Forecasting](https://mlsanity.com/paper/2201.12740/) (2022)
- [Temporal Fusion Transformers for Interpretable Multi-horizon Time Series Forecasting](https://mlsanity.com/paper/1912.09363/) (2019)
- [Enhancing the Locality and Breaking the Memory Bottleneck of Transformer on Time Series Forecasting](https://mlsanity.com/paper/1907.00235/) (2019)
- [Estimating Training Data Influence by Tracing Gradient Descent](https://mlsanity.com/paper/2002.08484/) (2020)
- [Connecting the Dots: Multivariate Time Series Forecasting with Graph Neural Networks](https://mlsanity.com/paper/2005.11650/) (2020)
- [TS2Vec: Towards Universal Representation of Time Series](https://mlsanity.com/paper/2106.10466/) (2021)
- [LSTM: A Search Space Odyssey](https://mlsanity.com/paper/1503.04069/) (2015)
- [TimeXer: Empowering Transformers for Time Series Forecasting with Exogenous Variables](https://mlsanity.com/paper/2402.19072/) (2024)
- [Unsupervised Representation Learning for Time Series with Temporal Neighborhood Coding](https://mlsanity.com/paper/2106.00750/) (2021)
- [Deep Neural Networks for Rank-Consistent Ordinal Regression Based On Conditional Probabilities](https://mlsanity.com/paper/2111.08851/) (2021)
- [LightTS: Lightweight Time Series Classification with Adaptive Ensemble Distillation -- Extended Version](https://mlsanity.com/paper/2302.12721/) (2023)
- [CLOC: Contrastive Learning for Ordinal Classification with Multi-Margin N-pair Loss](https://mlsanity.com/paper/2504.17813/) (2025)
- [Distilling Knowledge from Ensembles of Acoustic Models for Joint CTC-Attention End-to-End Speech Recognition](https://mlsanity.com/paper/2005.09310/) (2020)

## Abstract (arXiv)

Time series forecasting is an important task that involves analyzing temporal dependencies and underlying patterns (such as trends, cyclicality, and seasonality) in historical data to predict future values or trends. Current deep learning-based forecasting models primarily employ Mean Squared Error (MSE) loss functions for regression modeling. Despite enabling direct value prediction, this method offers no uncertainty estimation and exhibits poor outlier robustness. To address these limitations, we propose OCE-TS, a novel ordinal classification approach for time series forecasting that replaces MSE with Ordinal Cross-Entropy (OCE) loss, preserving prediction order while quantifying uncertainty through probability output. Specifically, OCE-TS begins by discretizing observed values into ordered intervals and deriving their probabilities via a parametric distribution as supervision signals. Using a simple linear model, we then predict probability distributions for each timestep. The OCE loss is computed between the cumulative distributions of predicted and ground-truth probabilities, explicitly preserving ordinal relationships among forecasted values. Through theoretical analysis using influence functions, we establish that cross-entropy (CE) loss exhibits superior stability and outlier robustness compared to MSE loss. Empirically, we compared OCE-TS with five baseline models-Autoformer, DLinear, iTransformer, TimeXer, and TimeBridge-on seven public time series datasets. Using MSE and Mean Absolute Error (MAE) as evaluation metrics, the results demonstrate that OCE-TS consistently outperforms benchmark models. The codeis publicly available at: https://github.com/Shi-hm/OCE-TS.