Probabilistic time series forecasting with boosted additive models : an application to smart meter data

@inproceedings{Taieb2015ProbabilisticTS,
  title={Probabilistic time series forecasting with boosted additive models : an application to smart meter data},
  author={Souhaib Ben Taieb and Raphael Huser and Rob J. Hyndman and Marc G. Genton},
  year={2015}
}
A large body of the forecasting literature so far has been focused on forecasting the conditional mean of future observations. However, there is an increasing need for generating the entire conditional distribution of future observations in order to effectively quantify the uncertainty in time series data. We present two different methods for probabilistic… CONTINUE READING