Search icon
Arrow left icon
All Products
Best Sellers
New Releases
Books
Videos
Audiobooks
Learning Hub
Newsletters
Free Learning
Arrow right icon
Modern Time Series Forecasting with Python

You're reading from  Modern Time Series Forecasting with Python

Product type Book
Published in Nov 2022
Publisher Packt
ISBN-13 9781803246802
Pages 552 pages
Edition 1st Edition
Languages
Author (1):
Manu Joseph Manu Joseph
Profile icon Manu Joseph

Table of Contents (26) Chapters

Preface 1. Part 1 – Getting Familiar with Time Series
2. Chapter 1: Introducing Time Series 3. Chapter 2: Acquiring and Processing Time Series Data 4. Chapter 3: Analyzing and Visualizing Time Series Data 5. Chapter 4: Setting a Strong Baseline Forecast 6. Part 2 – Machine Learning for Time Series
7. Chapter 5: Time Series Forecasting as Regression 8. Chapter 6: Feature Engineering for Time Series Forecasting 9. Chapter 7: Target Transformations for Time Series Forecasting 10. Chapter 8: Forecasting Time Series with Machine Learning Models 11. Chapter 9: Ensembling and Stacking 12. Chapter 10: Global Forecasting Models 13. Part 3 – Deep Learning for Time Series
14. Chapter 11: Introduction to Deep Learning 15. Chapter 12: Building Blocks of Deep Learning for Time Series 16. Chapter 13: Common Modeling Patterns for Time Series 17. Chapter 14: Attention and Transformers for Time Series 18. Chapter 15: Strategies for Global Deep Learning Forecasting Models 19. Chapter 16: Specialized Deep Learning Architectures for Forecasting 20. Part 4 – Mechanics of Forecasting
21. Chapter 17: Multi-Step Forecasting 22. Chapter 18: Evaluating Forecasts – Forecast Metrics 23. Chapter 19: Evaluating Forecasts – Validation Strategies 24. Index 25. Other Books You May Enjoy

Probabilistic forecasting

So far, we have been talking about the forecast as a single number. We have been projecting our DL models to a single dimension and training the model using a loss such as mean squared loss. This paradigm is what we call a point forecast. A probabilistic forecast is when the forecast, instead of having a single-point prediction, captures the uncertainty of that forecast as well. This means that the model doesn’t output a single number, but an output that reflects the probabilities associated with all possible future outcomes.

In the econometrics and classical time series world, the prediction intervals were already baked into the formulation. The statistical grounding of those methods made sure that the output of those models was readily interpreted in a probabilistic way as well (so long as you could satisfy the assumptions that were stipulated by those models). But in the modern machine/DL world, probabilistic forecasting is not an afterthought...

lock icon The rest of the chapter is locked
Register for a free Packt account to unlock a world of extra content!
A free Packt account unlocks extra newsletters, articles, discounted offers, and much more. Start advancing your knowledge today.
Unlock this book and the full library FREE for 7 days
Get unlimited access to 7000+ expert-authored eBooks and videos courses covering every tech area you can think of
Renews at $15.99/month. Cancel anytime}