Time Series Forecasting

Knowledge snippets about forecasting

Introduction: My Knowledge Cards

1 Prediction Space in Forecasting

Category: { Time Series }
Summary: In a forecasting problem, we have $\mathcal P$, the priors, e.g., price and demand is negatively correlated, $\mathcal D$, available dataset, $Y$, the observations, and $F$, the forecasts. Information Set $\mathcal A$ The priors $\mathcal D$ and the available data $\mathcal P$ can be summarized together as the information set $\mathcal A$. Under a probabilistic view, a forecaster will find out or approximate a CDF $\mathcal F$ such that1 $$ \mathcal F(Y\vert \mathcal D, \mathcal P) \to F. $$ Naively speaking, once the density $\rho(F, Y)$ is determined or estimated, a probabilistic forecaster can be formed. The joint probability of $(F, Y)$ is our prediction space.
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