Probabilistic time series forecasting on Bitcoin, COVID-19, and Synthetic Average (test)
0.266CRPSDeepAR
Evaluation Results
| Method | Links | |||||||
|---|---|---|---|---|---|---|---|---|
| DeepARDistribution=Mixture of Student's t, K=32026.05 | 0.266 | 0.479 | 0.191 | 0.109 | 0.745 | 0.885 | 0.965 | |
| DeepARDistribution=Asymmetric Student's t2026.05 | 0.268 | 0.494 | 0.194 | 0.114 | 0.742 | 0.881 | 0.961 | |
| DeepARDistribution=Student's t2026.05 | 0.271 | 0.502 | 0.198 | 0.123 | 0.734 | 0.876 | 0.954 | |
| DeepARDistribution=Mixture of Gaussians, K=32026.05 | 0.286 | 0.528 | 0.214 | 0.097 | 0.752 | 0.878 | 0.951 | |
| DeepLévyConfiguration=Full2026.05 | 0.293 | 0.461 | 0.219 | 0.126 | 0.738 | 0.889 | 0.976 | |
| ProbTransformer2026.05 | 0.298 | 0.537 | 0.231 | 0.099 | 0.752 | 0.874 | 0.948 | |
| DeepLévyConfiguration=Single Component2026.05 | 0.301 | 0.479 | 0.228 | 0.138 | 0.731 | 0.884 | 0.969 | |
| DeepARDistribution=Laplace2026.05 | 0.302 | 0.551 | 0.233 | 0.108 | 0.747 | 0.872 | 0.943 | |
| DeepARDistribution=Gaussian2026.05 | 0.317 | 0.583 | 0.249 | 0.091 | 0.755 | 0.861 | 0.932 | |
| DSSM2026.05 | 0.322 | 0.594 | 0.251 | 0.137 | 0.739 | 0.867 | 0.937 | |
| DeepFactor2026.05 | 0.329 | 0.611 | 0.258 | 0.149 | 0.725 | 0.851 | 0.924 | |
| DeepVAR2026.05 | 0.338 | 0.627 | 0.264 | 0.152 | 0.728 | 0.853 | 0.921 |