Chapter 13: Deep Learning for Time Series
Uncertainty Estimation and Calibration for Deep Time-Series Models intermediate
A forecasting model is not uncertainty-aware because it emits a variance. It is uncertainty-aware only if that variance tracks future error under the validation protocol you actually trade.
A forecasting model is not uncertainty-aware because it emits a variance. It is uncertainty-aware only if that variance tracks future error under the validation protocol you actually trade.
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References
Conformal Prediction in Finance
(2024)
Dropout as a Bayesian Approximation: Representing Model Uncertainty in Deep Learning
Yarin Gal, Zoubin Ghahramani
(2016)
— PMLR
Simple and Scalable Predictive Uncertainty Estimation using Deep Ensembles
Balaji Lakshminarayanan, Alexander Pritzel, Charles Blundell
(2017)
— Curran Associates, Inc.