benchopt / benchopt/benchmark_tsfm
Supporting Sampling/Distribution-based Forecasting Evaluation
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Description
As implemented in #12, only quantile-based probabilistic forecasting is implemented. However, this thows away any possible information on correlations between time steps and/or variates (quantiles effectively model all of those as independent marginals). This was chosen since many TSFMs produce them anyways. In the future, ways to meaningfully evaluate sampling/distribution-based model outputs might better evaluate the quality of forecasts.
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