Multivariate Probabilistic Time Series Forecasting with Correlated Errors

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[PDF] arxiv.org

MVG-CRPS: A Robust Loss Function for Multivariate Probabilistic Forecasting

VZ Zheng, L Sun - arxiv preprint arxiv:2410.09133, 2024 - arxiv.org
In probabilistic time series forecasting, the multivariate Gaussian (MVG) distribution is widely
used as predictive distribution for correlated continuous random variables. Current deep …
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