Customizing quantiles to suit your business needs
Amazon Forecast generates probabilistic forecasts at different quantiles, giving you prediction intervals over mere point forecasts. Prediction quantiles (or intervals) let Amazon Forecast express the uncertainty of each prediction and give you more information to include in the decision-making process that is linked to your forecast exercise.
As you have seen earlier in this chapter, Amazon Forecast can leverage different forecasting algorithms: each of these algorithms has a different way to estimate probability distributions. For more details about the theoretical background behind probabilistic forecasting, you can refer to the following papers:
- GluonTS: Probabilistic Time Series Models in Python (https://arxiv.org/pdf/1906.05264.pdf), which gives you some details about the way the ARIMA, ETS, NPTS, and DeepAR+ algorithms generate these predictions' intervals.
- A Multi-Horizon Quantile Recurrent Forecaster (https...