Multivariate Probabilistic Time Series Forecasting with Correlated Errors

Modeling the correlations among errors is closely associated with how accurately the model can quantify predictive uncertainty in probabilistic time series forecasting. Recent multivariate models have made significant progress in accounting for contemporaneous correlations among errors, while a common assumption on these errors is that they are temporally independent for the sake of statistical simplicity. However, real-world observations often deviate from this assumption, since errors usually exhibit substantial autocorrelation due to various factors such as the exclusion of temporally correlated …

accounting correlations cs.lg errors forecasting independent modeling multivariate predictive progress series stat.ml time series time series forecasting uncertainty