Prediction intervals for neural network models using weighted asymmetric loss functions

• URL: http://arxiv.org/abs/2210.04318v5
• Date: Tue, 18 Jul 2023 20:31:51 GMT
• Title: Prediction intervals for neural network models using weighted asymmetric loss functions
• Authors: Milo Grillo, Yunpeng Han and Agnieszka Werpachowska
• Abstract summary: We propose a simple and efficient approach to generate a prediction intervals (PI) for approximated and forecasted trends. Our method leverages a weighted asymmetric loss function to estimate the lower and upper bounds of the PI. We show how it can be extended to derive PIs for parametrised functions and discuss its effectiveness when training deep neural networks.
• Score: 0.3093890460224435
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: We propose a simple and efficient approach to generate a prediction intervals (PI) for approximated and forecasted trends. Our method leverages a weighted asymmetric loss function to estimate the lower and upper bounds of the PI, with the weights determined by its coverage probability. We provide a concise mathematical proof of the method, show how it can be extended to derive PIs for parametrised functions and discuss its effectiveness when training deep neural networks. The presented tests of the method on a real-world forecasting task using a neural network-based model show that it can produce reliable PIs in complex machine learning scenarios.

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