# Questions tagged [probabilistic-forecasts]

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### Using Bootstrapped Residuals to Estimate Time Series Prediction Intervals

I am working with a very simple forecasting "model" which is not a standard statistical model. I am trying to use the methodology described in Hyndman's textbook under the section "...
19 views

### Prediction Intervals for forecasts vs Probabilistic Forecasting

In the context of time series forecasting, there a relationship between these 2? Are prediction intervals are type of probabilistic forecasting?
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### Can we get probabilistic predictions evaluable by proper scoring rules from bayesian inference without evaluating the marginal likelihood?

Let's say we have a vector of inputs, $X=[x_0,\dots, x_{n-1}]$, and a vector of outputs, $Y=[y_0, \dots, y_{n-1}]$. We would like to predict the distribution of a new output ,$\hat{y}$, given a new ...
• 451
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### Backtransforming a probabilistic forecast?

Let's say that we have a probabilistic forecast for the future percentage return of an asset in the form of a probability density, $\hat{R}_{t+1}$. If our initial goal was to create a probabilistic ...
• 451
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### Triplets, Sampling Criteria and Variance?

Say I have a population size of 1000 students from schools in different towns (assume they are in the same class year, of mixed gender, same country/state). The mean, variance and standard deviation ...
38 views

### Resources for Probabilstic forecasting

I was planning on learning probabilistic forecasting and im completely lost. Suggest some online resources. I have started with Probabilistic Forecasting and Bayesian Data Assimilation but its a bit ...
1 vote
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### Is there a closed form for multi-step ARIMA/ARMA density forecasts conditioned on initial values?/alternatives to this?

I am attempting to create a benchmark for probabilistic forecasting of time series to test other models against and figured that a linear ARIMA/ARMA model would be a good starting point. I thought ...
• 451
1 vote
44 views

### Is generation/evaluation of probabilistic predictions on continuous data feasible for larger data sets in practice?

To better capture uncertainty about the phenomena that we model, probabilistic predictions seem to be a natural and common extension of point predictions. Methods for evaluation of these predictions ...
• 451
1 vote
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112 views

### Which algorithm suits for classification of multivariate time series data?

I have multivariate time series data, where the goal is to predict a binary label, which is changing in time. For illustration: there are 20 individuals, for each of them I measure 50 values (...
• 753
370 views

### What method would I use when data has an upper and lower boundary in GluonTS

I have a time series dataset that has a max ceiling of 50 and a lower threshold of 0, however when using probabilistic time series modeling like GluonTS I am getting future predictions that are either ...
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