Dynamic Regime-Aware Conformal Prediction (DRACP) is a new method that blends density‑ratio estimation, localized kernel weighting, and probabilistic regime‑aware weighting with a self‑tuning online significance controller to produce reliable prediction intervals under multiple distribution shifts. The authors prove finite‑sample validity with oracle weights, provide a coverage‑gap bound for estimated weights, and give deterministic or regret guarantees for the online controller. In experiments on 48 real forecasting series—including euro‑area inflation, US macroeconomic and energy indicators, and daily financial data—DRACP achieves the most reliable calibration, maintaining coverage close to the nominal 0.90 and never falling below 0.80, while other methods achieve narrower intervals but with higher under‑coverage.
whyItMatters":"DRACP offers a principled trade‑off between calibration and efficiency, ensuring that prediction intervals meet coverage standards even when economic data exhibit covariate shift, concept drift, and latent regimes."
By Bogdan Oancea
arXiv:2609.23701v1 Announce Type: cross
Abstract: Probabilistic forecasting requires accurate central predictions and calibrated uncertainty estimates. This paper presents TEMPER, the Temporal Encode...
By Giancarlo Vercellino
arXiv:2608. 10553v1 Announce Type: cross Abstract: Conformal prediction (CP) provides distribution-free prediction intervals for fixed forecasters, but its standard calibration procedure is often inefficient for time series data, where forecast errors are temporally dependent and change across time and operating conditions.
By Sangjin Jin, Kangmin Kim, Junhyeong Lee, Yongjae Lee
Conformal prediction (CP) provides distribution-free prediction intervals for fixed forecasters, but its standard calibration procedure is often inefficient for time series data, where forecast errors are temporally dependent and change across time and operating conditions. Recent time series CP methods improve local calibration using recent, weighted, or localized residuals.
The paper introduces Generalized Gibbs Ensemble Weighting (GGEW), a probabilistic framework that assigns weights to forecasting models using a Gibbs-style exponential transformation of normalized predictive loss. GGEW extends basic weighting through numerical stabilization, diversity-aware score corrections, and online hyperparameter adaptation, yielding variants such as Stable Gibbs weighting, Directional Gibbs-NCL, and Symmetric Gibbs-NCL. The authors evaluate GGEW on M4 competition submissions and real-world datasets (Monash Traffic, Electricity, Solar), finding that Gibbs-style adaptive weighting is competitive across various settings, though performance varies by dataset, horizon, and deployment protocol.
By Prasen R. Nuthanakaluva, Nava K. Gaddam
Data-driven models now rival numerical weather prediction in the medium range, but extending them to sub-seasonal lead times raises challenges absent at shorter horizons. Errors accumulate over long autoregressive rollouts, systematic biases grow with lead time, and several years of data must be held out for independent verification, even though machine-learning models otherwise benefit from longer training records.
SPACE is a conformal wrapper that creates ellipsoidal joint prediction regions for multivariate time‑series forecasts by estimating time‑local covariance directly from the current forecast sample cloud. It calibrates the region’s radius using a dynamic backward window‑selection scheme, avoiding reliance on historical residuals. Experiments on diverse datasets show that SPACE improves joint and rolling coverage, achieving better coverage‑efficiency tradeoffs than existing wrappers.
By Baishi Li, Kelvin J. L. Koa, Ke-Wei Huang
Probabilistic forecasting requires accurate central predictions and calibrated uncertainty estimates. This paper presents TEMPER, the Temporal Encoder-Masked Probabilistic Ensemble Regressor, a univar...
arXiv:2607. 05100v1 Announce Type: cross Abstract: Data-driven models now rival numerical weather prediction in the medium range, but extending them to sub-seasonal lead times raises challenges absent at shorter horizons.
By Jakob Schloer, Steffen Tietsche, Christopher D. Roberts, Lorenzo Zampieri, Simon Lang, Gert Mertes, Gareth Jones, Matthew Chantry, Frederic Vitart
arXiv:2508.10336v3 Announce Type: replace-cross
Abstract: In a supervised online setting, quantifying uncertainty has been proposed in the seminal work of Gibbs and Cand\`es (2021). For any given poi...
By Pierre Humbert, Ulysse Gazin, Ruth Heller, Etienne Roquain
arXiv:2609.05561v1 Announce Type: cross
Abstract: Rollcast is a probabilistic forecasting method for univariate time series that combines a compact set of rolling statistical anchors rather than rely...
By Giancarlo Vercellino
arXiv:2607. 05450v1 Announce Type: cross Abstract: This paper explores the "Granularity Paradox" in time-series forecasting, wherein finer temporal disaggregation (e.
By Hugo Moreira