UQ for time series and forecasting problems

UQ is not just a sophisticated addition to time series forecasting; it is a fundamental aspect that provides invaluable insights into the nature of the predictions. Let’s look at why it’s important and a brief history of its development.

The importance of UQ

UQ is a critical component of time series forecasting. While a forecast model may provide accurate predictions on average, understanding the uncertainty around those predictions is equally essential. There are several key reasons why properly quantifying uncertainty is vital for practical time series forecasting:

• Risk assessment: In many domains, such as finance, healthcare, and environmental science, forecasting is closely linked with decision-making. Understanding the uncertainty in predictions aids in assessing potential risks, thus enabling informed decisions.
• Model confidence: UQ provides an understanding of the confidence in each model’s predictions...