Quantile deep learning models for multi-step ahead time series prediction
Year: 2025
Type: article
Abstract: Uncertainty quantification is crucial in time series prediction, and quantile regression offers a valuable mechanism for uncertainty quantification, which is useful for extreme value forecasting. Although deep learning models have been prominent in multi-step ahead prediction, the development and evaluation of quantile deep learning models have been limited. We present a novel quantile regression deep learning framework for multi-step time series prediction. In this way, we elevate the capabilities of deep learning models by incorporating quantile regression, thus providing a more nuanced understanding of predictive values. We provide an implementation of prominent deep learning models for multi-step ahead time series prediction and evaluate their performance under high volatility and extreme conditions. We include multivariate and univariate modelling, strategies, and provide a comparison with conventional deep learning models from the literature. Our models are tested on two cryptocurrencies: Bitcoin and Ethereum, using daily close-price data and selected benchmark time series datasets. The results show that integrating a quantile loss function with deep learning provides additional predictions for selected quantiles without a loss in prediction accuracy. Our quantile model can handle volatility more effectively and provides uncertainty quantification through the use of quantiles when compared to conventional deep learning models.
Source: Applied Soft Computing
Authors: Jimmy Cheung, Smruthi Rangarajan, Amelia Maddocks, Rohitash Chandra
Institution: UNSW Sydney
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: hybrid
Estimated APC paid: $3,730
Funder: University of New South Wales
OpenAlex ID: W4415224430