Research
On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,695 papers · 148 categories

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76153229305 · Jun 202019922001200920172026
48 results for forecast errors

A new framework detects forecast model inadequacies using online monitoring of forecast errors.

problem Inaccurate forecasts lead to poor decision-making in complex models.
method Sequential changepoint techniques on forecast errors for real-time identification of process changes.
result The framework identifies shifts in forecast errors faster than in the original models, indicating process changes.

Enhances traffic forecasting with dynamic regression incorporating error modeling.

problem Improving accuracy of traffic forecasts using deep spatiotemporal models.
method Integrates matrix-variate autoregressive (AR) model into loss function for error series of base model.
result Improved traffic forecasting performance on SOTA models with interpretable AR coefficients.

CNN improves medium-range temperature forecasts with limited resources.

problem Limited computational resources for high-resolution temperature forecasts.
method CNN post-processing with ensemble NWP models for bias correction and spatial downscaling.
result High-resolution (5-km) surface temperature forecasts with lead times up to 5.5 days.

The paper proposes a method to improve forecast combination accuracy using portfolio theory.

problem Improving forecast accuracy by combining multiple forecasts.
method Generates forecast combinations using a portfolio analogy, allowing negative weights for hedging.
result Demonstrates improved performance in weighted random forest forecasts.

HSR reduces analyst earnings forecast errors by lowering travel friction.

problem How HSR connectivity affects analyst earnings forecast errors in China.
method Firm-year panel data from 2008-2019; placebo test to rule out pre-existing trends.
result HSR reduces analyst earnings forecast errors after connectivity, not before.

Improved deep probabilistic time series forecasting by learning error autocorrelation.

problem Simplification of time-independent error process and lack of serial correlation in existing models.
method Proposes a training method that incorporates error autocorrelation to enhance probabilistic forecasting accuracy.
result Improves predictive accuracy and uncertainty quantification across multiple datasets.

Leasing is a popular channel to market new cars. Pricing a leasing contract is complicated because the leasing rate embodies an expectation of the residual value of the car after contract expiration. To aid lessors in their pricing decisions, the paper develops resale price forecasting models. A peculiarity of the leas…

2017-07-10abs ↗pdf ↗

Unified NICEk metrics improve solar forecasting accuracy.

problem Lack of suitable error metrics for multidimensional solar irradiance forecasting.
method Introducing NICEk framework with Lk norms for evaluating forecasting models.
result NICESigma consistently outperforms traditional metrics in discriminative power and statistical significance.

Neural CDEs correct errors in learned time-series models for better forecasting.

problem Error accumulation in multi-step forecasts of learned time-series models.
method Predictor-Corrector framework with a neural controlled differential equation.
result The proposed framework consistently improves forecasting performance across various models.

Meta-learning predicts optimal ensemble size and methods for time series forecasting.

problem Finding the best ensemble of time series forecasting methods.
method Two-step approach using meta-learning to predict ensemble size and methods.
result Meta-learning outperformed benchmarks in forecasting errors for all data types and horizons.

EBLR improves time series forecasting with interpretable results.

problem Forecasting future events to reduce uncertainty.
method Iterative method starting with a base model, adding regression trees to explain errors at each iteration.
result EBLR substantially improves base model performance through extracted features and provides comparable performance to other methods.

As renewable distributed energy resources (DERs) penetrate the power grid at an accelerating speed, it is essential for operators to have accurate solar photovoltaic (PV) energy forecasting for efficient operations and planning. Generally, observed weather data are applied in the solar PV generation forecasting model w…

2017-09-24abs ↗pdf ↗

A new metric optimizes forecasts for lumpy, intermittent demand.

problem Inaccurate demand forecasts lead to suboptimal logistics and production.
method Developed a novel metric that considers both statistical and business aspects.
result The new metric yields more accurate predictions for lumpy and intermittent demand.

New method corrects seasonal Arctic sea ice predictions with probabilistic models.

problem Systematic biases and errors in climate model forecasts of Arctic sea ice.
method Conditional Variational Autoencoder model to map observation distribution given biased model predictions.
result Probabilistic adjusted forecasts are better calibrated and have smaller errors.

The purpose of this paper is to propose a time-varying vector autoregressive model (TV-VAR) for forecasting multivariate time series. The model is casted into a state-space form that allows flexible description and analysis. The volatility covariance matrix of the time series is modelled via inverted Wishart and singul…

2008-02-01abs ↗pdf ↗

Energy price forecasting is a relevant yet hard task in the field of multi-step time series forecasting. In this paper we compare a well-known and established method, ARMA with exogenous variables with a relatively new technique Gradient Boosting Regression. The method was tested on data from Global Energy Forecasting …

2015-06-23abs ↗pdf ↗

The paper evaluates forecast accuracy of realized volatility measures in large cross-sections.

problem Forecast evaluation of realized volatility measures in large cross-sections of financial data.
method Equal predictive accuracy testing procedures, LASSO shrinkage, measurement error correction, cross-sectional jump component measures.
result The augmented HAR model outperforms the standard HAR model in forecasting realized volatility.

The paper introduces a method to model error correlations in multivariate time series forecasting.

problem Accurate modeling of error correlations for reliable uncertainty quantification.
method Plug-and-play method that learns error covariance over multiple steps using low-rank-plus-diagonal and independent latent temporal processes.
result Improves predictive accuracy and uncertainty quantification without significantly increasing parameter size.

Analog forecasting uses local dynamics to predict chaotic systems.

problem Theoretical connections between analog forecasting and dynamical systems are overlooked.
method Local approximations of the system's dynamics, linear regression, and estimation of analog forecasting errors.
result Analog forecasting performances are highly linked to the local Jacobian matrix of the flow map.

Study improves seasonal forecasts using deep learning.

problem Challenges in generating large forecast ensembles and limited observations for verification.
method Developed a probabilistic deep neural network model.
result Demonstrated favorable skill compared to state-of-the-art dynamical forecast systems.

Bayesian consensus improves accuracy of forecasts from miscalibrated sources.

problem Aggregating predictions from miscalibrated and noisy sources.
method Bayesian approach to adjust for bias and noise, using hierarchical models.
result Bayesian consensus estimator is unbiased and more efficient than alternatives.

Proposes a non-autoregressive Transformer for time series forecasting.

problem Autoregressive errors and spatial-temporal dependencies in time series forecasting.
method Introduces a Non-Autoregressive Transformer with a learned temporal influence map.
result Demonstrates state-of-the-art performance on time series forecasting datasets.

New model predicts sales of new products with short life cycles.

problem Forecasting sales of new products with short lead times and life cycles.
method Developed an exponential factorization machine (EFM) to consider attributes and pairwise interactions.
result EFM model outperforms existing models in terms of MAPE and MAE.

Study compares local and global models for hierarchical forecasting accuracy.

problem Challenges in hierarchical time series forecasting, especially in accuracy and information utilisation.
method Developed and evaluated local and global forecasting models (GFMs) to exploit cross-series and cross-hierarchies information.
result Global Forecasting Models (GFMs) outperform local models in hierarchical forecasting accuracy and computational efficiency.

Sales forecasting plays a prominent role in business planning and business strategy. The value and importance of advance information is a cornerstone of planning activity, and a well-set forecast goal can guide sale-force more efficiently. In this paper CPU sales forecasting of Intel Corporation, a multinational semico…

2017-04-28abs ↗pdf ↗

Models assess how USDA orange production forecasts impact FCOJ market decisions.

problem High volatility in FCOJ futures due to limited U.S. orange production.
method Developed models to assess the impact of USDA October orange production forecasts on FCOJ market participants.
result Probabilistic forecasts of USDA production forecast error can reduce FCOJ price volatility.

Study identifies regions where scoring rules reliably detect forecast errors.

problem Insufficient reliability of scoring rules in evaluating multivariate probabilistic forecasts.
method Systematic finite-sample analysis of proper scoring rules on synthetic and real-world data.
result Identified regions of reliability for scoring rules in time-series forecasting.

Enhanced TSFMs improve time series forecasting accuracy and reliability.

problem Variance, bias, and uncertainty in TSFMs' predictions on real data.
method Statistical and ensemble techniques including bagging, stacking, residual modeling, and prediction intervals.
result Hybrid models consistently outperform standalone TSFMs across multiple horizons.

A hybrid loss framework improves time series forecasting by balancing global and component errors.

problem Current time series methods may prioritize less significant sub-series, leading to forecasting bias.
method Proposes a hybrid loss framework combining global and component losses, dynamically adjusting weights.
result Improves time series forecasting performance by 0.5-2% on average.

Algometrics analyzes how predictive models affect their own forecasts in algorithmic markets.

problem How predictive models affect their own forecasts in algorithmic markets.
method Introduces algometrics, a framework for time series with feedback, proving three results on deployment risk.
result Deployment risk cannot be identified from passive historical data alone, and historical rankings can invert under crowding.