无需训练,用历史数据检索实现长期时间序列预测与不确定性估计
KReF: Training-Free Retrieval for Long-Term Time-Series Forecasting and Predictive Uncertainty
- 通过检索相似历史片段构建局部预测分布
- 在12个设置中CRPS最低,9个设置下区间覆盖率最优
- 适合追求高效、无训练的时序预测场景
概率性长期时间序列预测通常依赖训练模型。无训练的置信区间方法通常围绕已有点预测构建,不直接表示完整预测分布;序列变体在长预测范围下还面临反馈延迟问题。我们提出KReF,一种无需训练的检索框架,将检索到的历史未来视为查询局部的经验预测分布。经过鲁棒预处理后,KReF使用手工统计量或冻结的随机傅里叶特征嵌入每个回溯窗口,并检索相似的历史回溯-未来配对。其相似度权重直接定义预测质量、分位数、CRPS及加权均值点预测。KReF进一步利用观测查询回溯构建概率积分变换映射,并应用验证选择的扩展与收缩率以自适应调整区间边界。在六个LTSF基准和四个预测范围上,KReF在所有12个数据集-嵌入组合中取得最低CRPS,9个设置中达到最低IS90。无需梯度优化,其点预测在六个数据集中仍有两个匹配或超越训练基线。档案-理想分析揭示了在更细粒度的时间步与通道路由下仍有显著提升空间。这些结果确立了检索作为长期时间序列预测中一种有用且被忽视的归纳偏置。
原文摘要 · Abstract (English)
Probabilistic long-term time-series forecasting commonly relies on trained models. Training-free conformal methods typically construct intervals around a pre-existing point forecaster and do not natively represent a complete predictive distribution; sequential variants additionally suffer from increasingly delayed feedback at long horizons. We propose KReF, a training-free retrieval framework that treats retrieved historical futures as a querylocal empirical predictive distribution. After robust preprocessing, KReF embeds each lookback using handcrafted statistics or frozen random Fourier features and retrieves similar historical lookback-future pairs. Their similarity weights directly define predictive masses, quantiles, CRPS, and a weighted-mean point forecast. KReF further uses the observed query lookback to construct a probability-integral-transform map and applies validation-selected expansion and shrinkage rates to adapt interval boundaries. Across six LTSF benchmarks and four horizons, KReF obtains the lowest CRPS in all 12 dataset-embedding settings and the lowest IS90 in 9 settings. Without gradient-based fitting, its point forecasts also match or surpass trained baselines on two of six datasets. An archive-oracle analysis further reveals substantial headroom under finer horizon- and channel-wise routing. These results establish retrieval as a useful and underexplored inductive bias for LTSF.
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