Conformal Multistep-Ahead Multivariate Time-Series Forecasting

Filip Schlembach; Evgueni Smirnov; Irena Koprinska; U Johansson; H Bostrom; KA Nguyen; Z Luo; L Carlsson

Conformal Multistep-Ahead Multivariate Time-Series Forecasting

Filip Schlembach^*, Evgueni Smirnov, Irena Koprinska, U Johansson, H Bostrom, KA Nguyen, Z Luo, L Carlsson

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Conference article in proceeding › Academic › peer-review

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Abstract

This paper proposes a method for conformal multistep-ahead multivariate time-series forecasting. The method minimizes the coverage loss when the data exchangeability assumption does not properly hold. This is done by weighting residual quantiles while computing prediction intervals. Preliminary experiments on real data demonstrate the method's utility.

Original language	English
Title of host publication	CONFORMAL AND PROBABILISTIC PREDICTION WITH APPLICATIONS, VOL 179
Editors	U Johansson, H Bostrom, KA Nguyen, Z Luo, L Carlsson
Publisher	JMLR - Journal of Machine Learning Research
Number of pages	3
Volume	179
Publication status	Published - 2022
Event	11th Symposium on Conformal and Probabilistic Prediction with Applications - Brighton, United Kingdom Duration: 24 Aug 2022 → 26 Aug 2022 https://cml.rhul.ac.uk/copa2022/

Publication series

Series	Proceedings of Machine Learning Research
Volume	179
ISSN	2640-3498

Conference

Conference	11th Symposium on Conformal and Probabilistic Prediction with Applications
Abbreviated title	COPA 2022
Country/Territory	United Kingdom
City	Brighton
Period	24/08/22 → 26/08/22
Internet address	https://cml.rhul.ac.uk/copa2022/

Keywords

Conformal Prediction
Time Series Forecasting

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Schlembach, F., Smirnov, E., Koprinska, I., Johansson, U., Bostrom, H., Nguyen, KA., Luo, Z., & Carlsson, L. (2022). Conformal Multistep-Ahead Multivariate Time-Series Forecasting. In U. Johansson, H. Bostrom, KA. Nguyen, Z. Luo, & L. Carlsson (Eds.), CONFORMAL AND PROBABILISTIC PREDICTION WITH APPLICATIONS, VOL 179 (Vol. 179). JMLR - Journal of Machine Learning Research .

Schlembach, Filip ; Smirnov, Evgueni ; Koprinska, Irena et al. / Conformal Multistep-Ahead Multivariate Time-Series Forecasting. CONFORMAL AND PROBABILISTIC PREDICTION WITH APPLICATIONS, VOL 179. editor / U Johansson ; H Bostrom ; KA Nguyen ; Z Luo ; L Carlsson. Vol. 179 JMLR - Journal of Machine Learning Research , 2022. (Proceedings of Machine Learning Research, Vol. 179).

@inproceedings{35afad4d7aba41779ba0beee4368c019,

title = "Conformal Multistep-Ahead Multivariate Time-Series Forecasting",

abstract = "This paper proposes a method for conformal multistep-ahead multivariate time-series forecasting. The method minimizes the coverage loss when the data exchangeability assumption does not properly hold. This is done by weighting residual quantiles while computing prediction intervals. Preliminary experiments on real data demonstrate the method's utility.",

keywords = "Conformal Prediction, Time Series Forecasting",

author = "Filip Schlembach and Evgueni Smirnov and Irena Koprinska and U Johansson and H Bostrom and KA Nguyen and Z Luo and L Carlsson",

year = "2022",

language = "English",

volume = "179",

series = "Proceedings of Machine Learning Research",

publisher = "JMLR - Journal of Machine Learning Research ",

editor = "U Johansson and H Bostrom and KA Nguyen and Z Luo and L Carlsson",

booktitle = "CONFORMAL AND PROBABILISTIC PREDICTION WITH APPLICATIONS, VOL 179",

address = "United States",

note = "11th Symposium on Conformal and Probabilistic Prediction with Applications, COPA 2022 ; Conference date: 24-08-2022 Through 26-08-2022",

url = "https://cml.rhul.ac.uk/copa2022/",

}

Schlembach, F , Smirnov, E, Koprinska, I, Johansson, U, Bostrom, H, Nguyen, KA, Luo, Z & Carlsson, L 2022, Conformal Multistep-Ahead Multivariate Time-Series Forecasting. in U Johansson, H Bostrom, KA Nguyen, Z Luo & L Carlsson (eds), CONFORMAL AND PROBABILISTIC PREDICTION WITH APPLICATIONS, VOL 179. vol. 179, JMLR - Journal of Machine Learning Research , Proceedings of Machine Learning Research, vol. 179, 11th Symposium on Conformal and Probabilistic Prediction with Applications, Brighton, United Kingdom, 24/08/22.

Conformal Multistep-Ahead Multivariate Time-Series Forecasting. / Schlembach, Filip ; Smirnov, Evgueni; Koprinska, Irena et al.
CONFORMAL AND PROBABILISTIC PREDICTION WITH APPLICATIONS, VOL 179. ed. / U Johansson; H Bostrom; KA Nguyen; Z Luo; L Carlsson. Vol. 179 JMLR - Journal of Machine Learning Research , 2022. (Proceedings of Machine Learning Research, Vol. 179).

Research output: Chapter in Book/Report/Conference proceeding › Conference article in proceeding › Academic › peer-review

TY - GEN

T1 - Conformal Multistep-Ahead Multivariate Time-Series Forecasting

AU - Schlembach, Filip

AU - Smirnov, Evgueni

AU - Koprinska, Irena

AU - Johansson, U

AU - Bostrom, H

AU - Nguyen, KA

AU - Luo, Z

AU - Carlsson, L

PY - 2022

Y1 - 2022

N2 - This paper proposes a method for conformal multistep-ahead multivariate time-series forecasting. The method minimizes the coverage loss when the data exchangeability assumption does not properly hold. This is done by weighting residual quantiles while computing prediction intervals. Preliminary experiments on real data demonstrate the method's utility.

AB - This paper proposes a method for conformal multistep-ahead multivariate time-series forecasting. The method minimizes the coverage loss when the data exchangeability assumption does not properly hold. This is done by weighting residual quantiles while computing prediction intervals. Preliminary experiments on real data demonstrate the method's utility.

KW - Conformal Prediction

KW - Time Series Forecasting

M3 - Conference article in proceeding

VL - 179

T3 - Proceedings of Machine Learning Research

BT - CONFORMAL AND PROBABILISTIC PREDICTION WITH APPLICATIONS, VOL 179

A2 - Johansson, U

A2 - Bostrom, H

A2 - Nguyen, KA

A2 - Luo, Z

A2 - Carlsson, L

PB - JMLR - Journal of Machine Learning Research

T2 - 11th Symposium on Conformal and Probabilistic Prediction with Applications

Y2 - 24 August 2022 through 26 August 2022

ER -

Schlembach F , Smirnov E, Koprinska I, Johansson U, Bostrom H, Nguyen KA et al. Conformal Multistep-Ahead Multivariate Time-Series Forecasting. In Johansson U, Bostrom H, Nguyen KA, Luo Z, Carlsson L, editors, CONFORMAL AND PROBABILISTIC PREDICTION WITH APPLICATIONS, VOL 179. Vol. 179. JMLR - Journal of Machine Learning Research . 2022. (Proceedings of Machine Learning Research, Vol. 179).

Conformal Multistep-Ahead Multivariate Time-Series Forecasting

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