Deep probabilistic time series forecasting has gained significant attention due to its ability to provide valuable uncertainty quantification for decision-making tasks. However, many existing models oversimplify the problem by assuming the error process is time-independent, thereby overlooking the serial correlation in the error process. This oversight can potentially diminish the accuracy of the forecasts, rendering these models less effective for decision-making purposes. To overcome this limitation, we propose an innovative training method that incorporates error autocorrelation to enhance the accuracy of probabilistic forecasting. Our method involves constructing a mini-batch as a collection of $D$ consecutive time series segments for model training and explicitly learning a covariance matrix over each mini-batch that encodes the error correlation among adjacent time steps. The resulting covariance matrix can be used to improve prediction accuracy and enhance uncertainty quantification. We evaluate our method using DeepAR on multiple public datasets, and the experimental results confirm that our framework can effectively capture the error autocorrelation and enhance probabilistic forecasting.

本研究提出了一种新的训练方法，可以考虑误差自相关性，提高深度概率时间序列预测模型的准确性，并通过多个公共数据集验证了方法的有效性。

深度概率时间序列预测的更好批次