Ensemble Conformalized Quantile Regression for Probabilistic Time Series Forecasting

This paper presents a novel probabilistic forecasting method called ensemble conformalized quantile regression (EnCQR). EnCQR constructs distribution-free and approximately marginally valid prediction intervals (PIs), is suitable for nonstationary and heteroscedastic time series data, and can be applied on top of any forecasting model, including deep learning architectures that are trained on long data sequences. EnCQR exploits a bootstrap ensemble estimator, which enables the use of conformal predictors for time series by removing the requirement of data exchangeability. The ensemble learners are implemented as generic machine learning algorithms performing quantile regression, which allow the length of the PIs to adapt to local variability in the data. In the experiments, we predict time series characterized by a different amount of heteroscedasticity. The results demonstrate that EnCQR outperforms models based only on quantile regression or conformal prediction, and it provides sharper, more informative, and valid PIs.