David S. Matteson

Volatility-Corrected Prediction Intervals: Locally Adaptive Uncertainty Quantification for Probabilistic Time-Series Forecasting

Prediction intervals from probabilistic time-series forecasters are commonly assessed by marginal coverage, the long-run proportion of observations falling inside the intervals. However, forecast errors in time series are often serially dependent and heteroskedastic, so prediction intervals can attain near-nominal marg...