arXiv Machine Learning By Qipeng Qian, Yuntao Qian

Do Time-Series Forecasters Use the Right History: Recoverability, Recovery, and Functional Use of Temporal Delays

Read the original on arXiv Machine Learning →

arXiv:2608. 10433v1 Announce Type: new Abstract: Forecast accuracy does not tell us which past inputs produced a prediction.

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arXiv Machine Learning
Sep 22

Beyond Average Error through Oracle-Informed Stress Tests for Time-Series Forecasting

The paper introduces paired, mechanism‑controlled stress tests that decompose changes in expected squared error for time‑series forecasting into environmental risk and forecast‑oracle distance. Using an origin‑conditioned predictive oracle, the authors validate three end‑to‑end controls and apply the benchmark to 24 forecasters, revealing that many models exhibit higher realized MSE yet lower oracle distance under frequent switching, and that environmental risk dominates in most scenarios. The study also demonstrates that visually compelling discovery profiles often fail to replicate on independent data‑generating process realizations, underscoring the importance of component‑wise diagnosis and held‑out stability audits.

By Xu Lin (Tsinghua University, Beijing, China), Runheng Zuo (Tsinghua University, Beijing, China), Shengxuan Xu (Tsinghua University, Beijing, China), Qitai Tan (Tsinghua University, Beijing, China), Hongyu Lin (Tsinghua University, Beijing, China), Xiao-Ping Zhang (Tsinghua University, Beijing, China)