arXiv Machine Learning

Generalized Gibbs Ensemble Weighting for Forecast Combination

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.

arXiv Machine Learning
Jul 13

Forking-Sequences: Statistically and Computationally Efficient Multi-Horizon Forecasting with Reduced Volatility

arXiv:2510. 04487v5 Announce Type: replace Abstract: While accuracy is a critical requirement for time series forecasting, an equally important desideratum is reasonable forecast volatility across forecast creation dates (FCDs).

By Willa Potosnak, Malcolm Wolff, Mengfei Cao, Ruijun Ma, Tatiana Konstantinova, Dmitry Efimov, Michael W. Mahoney, Boris Oreshkin, Kin G. Olivares