An Introduction to Exceedance Probability Forecasting

Predicting the chance of extreme values in time series using Python

Exceedance probability forecasting is the problem of estimating the probability that a time series will exceed a predefined threshold in a predefined future period.

In a previous post I briefly described 6 problems that arise with time series data, including exceedance probability forecasting. Here I will dive deeper into this task. After some basic definitions I will explain why this problem matters, and …

data science forecasting introduction machine learning probability quantitative-finance time-series-analysis time series forecasting