ProbRes: Volatility Learning for Probabilistic Time-Series Forecasting
ProbRes: 概率时间序列预测的波动率学习
Tingting Wang, Yunyi Zhang, Benyou Wang
AI总结 提出ProbRes,一种事后概率校准方法,通过显式学习波动率动态来改进概率预测,有效处理异方差数据,并在理论和实验上验证其有效性。
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概率时间序列预测由于需要量化未来观测中的风险和不确定性,在金融应用中引起了越来越多的关注。我们提出ProbRes,一种事后概率校准方法,它显式地学习并将波动率动态纳入概率预测中,从而能够有效处理异方差数据。在训练过程中,ProbRes采用两个与架构无关的模块分别对条件均值和条件波动率进行建模。在推理阶段,它通过重采样标准化残差生成预测分布。ProbRes适用于单变量和多变量时间序列,并且在广泛的误差分布下保持稳健,包括具有条件异方差的非高斯创新。理论结果证明了ProbRes的有效性,在合成和真实数据集上的实验表明,ProbRes准确捕捉预测分布并产生校准良好的预测区间。
Probabilistic time series forecasting has attracted increasing attention in financial applications due to the need to quantify risk and uncertainty in future observations. We propose ProbRes, a post-hoc probabilistic calibration method that explicitly learns and incorporates volatility dynamics into probabilistic forecasting, enabling effective handling of heteroskedastic data. During training, ProbRes employs two architecture-agnostic modules to separately model the conditional mean and conditional volatility. At the inference stage, it generates predictive distributions by resampling normalized residuals. ProbRes is applicable to both univariate and multivariate time series and remains robust under a wide range of error distributions, including non-Gaussian innovations with conditional heteroskedasticity. Theoretical results demonstrate ProbRes's validity and experiments on both synthetic and real-world datasets show that ProbRes accurately captures predictive distributions and produces well-calibrated prediction intervals.