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Book Overview & Buying
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Table Of Contents
Modern Time Series Forecasting with Python - Second Edition
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So far, we have been talking about the forecast as a single number. We have been projecting our DL models to a single dimension or training our machine learning models to output a single number. Subsequently, we were training the model using a loss, such as mean squared loss. This paradigm is what we call a point forecast. But we are not considering one important aspect. We are using the history to train our model to make the best guess. But how sure is the model about its prediction? Those of you who are aware of machine learning and classification problems would recognize that for classification problems, besides getting a prediction of which class the sample belongs to, we also get a notion of the uncertainty of the model. But our forecasting is a regression problem and we don’t get the uncertainty for free.
But why is quantifying uncertainty important in forecasting? Any forecast is created for some purpose, some downstream task for which the...