Forking-Sequences: Statistically and Computationally Efficient Multi-Horizon Forecasting with Reduced Volatility
While accuracy is a critical requirement for time series forecasting, an equally important desideratum is reasonable forecast volatility across forecast creation dates (FCDs). Even highly accurate models can produce erratic revisions between FCDs, undermining trust and disrupting downstream decision-making. To improve the volatility of forecast revisions, state-of-the-art models like MQCNN, MQT, and SPADE employ a powerful yet underexplored neural network architectural design: forking-sequences. This architectural design jointly encodes and decodes the entire time series across all FCDs, producing an entire multi-horizon forecast grid in a single forward pass. This approach contrasts with conventional neural forecasting methods that process FCDs independently, generating only a single multi-horizon forecast per forward pass. In this work, we formalize the forking-sequences design and motivate its broader adoption by introducing a metric for quantifying excess volatility in forecast revisions and by providing theoretical and empirical analysis. We theoretically motivate three key benefits of forking-sequences: (i) reduced forecast volatility through ensembling; (ii) gradient variance reduction, improving the statistical efficiency of the training procedure; and (iii) improved inference computational efficiency. We validate the benefits of forking-sequences compared to baseline window-sampling on the M-series benchmark, using 16 datasets from the M1, M3, M4, and Tourism competitions. We observe median sCRPS improvements across datasets of 46.2%, 49.3%, 28.6%, 24.7%, and 6.4% for RNN, LSTM, CNN, Transformer, and State Space-based architectures, respectively. We then show that forecast ensembling during inference can reduce median forecast volatility by 13.2%, 13.0%, 10.9%, 10.2%, and 11.2% for these respective models trained with forking-sequences, while maintaining accuracy.
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Computational EfficiencyTime Series ForecastingSimilar Papers 제목 키워드 기반
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