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Evaluating quantile forecasts in the M5 uncertainty competition

Publication ,  Journal Article
Chen, Z; Gaba, A; Tsetlin, I; Winkler, RL
Published in: International Journal of Forecasting
October 1, 2022

Probabilistic forecasts are necessary for robust decisions in the face of uncertainty. The M5 Uncertainty competition required participating teams to forecast nine quantiles for unit sales of various products at various aggregation levels and for different time horizons. This paper evaluates the forecasting performance of the quantile forecasts at different aggregation levels and at different quantile levels. We contrast this with some theoretical predictions, and discuss potential implications and promising future research directions for the practice of probabilistic forecasting.

Duke Scholars

Published In

International Journal of Forecasting

DOI

ISSN

0169-2070

Publication Date

October 1, 2022

Volume

38

Issue

4

Start / End Page

1531 / 1545

Related Subject Headings

  • Econometrics
  • 4905 Statistics
  • 3802 Econometrics
  • 1505 Marketing
  • 1403 Econometrics
  • 0104 Statistics
 

Citation

APA
Chicago
ICMJE
MLA
NLM
Chen, Z., Gaba, A., Tsetlin, I., & Winkler, R. L. (2022). Evaluating quantile forecasts in the M5 uncertainty competition. International Journal of Forecasting, 38(4), 1531–1545. https://doi.org/10.1016/j.ijforecast.2022.03.004
Chen, Z., A. Gaba, I. Tsetlin, and R. L. Winkler. “Evaluating quantile forecasts in the M5 uncertainty competition.” International Journal of Forecasting 38, no. 4 (October 1, 2022): 1531–45. https://doi.org/10.1016/j.ijforecast.2022.03.004.
Chen Z, Gaba A, Tsetlin I, Winkler RL. Evaluating quantile forecasts in the M5 uncertainty competition. International Journal of Forecasting. 2022 Oct 1;38(4):1531–45.
Chen, Z., et al. “Evaluating quantile forecasts in the M5 uncertainty competition.” International Journal of Forecasting, vol. 38, no. 4, Oct. 2022, pp. 1531–45. Scopus, doi:10.1016/j.ijforecast.2022.03.004.
Chen Z, Gaba A, Tsetlin I, Winkler RL. Evaluating quantile forecasts in the M5 uncertainty competition. International Journal of Forecasting. 2022 Oct 1;38(4):1531–1545.
Journal cover image

Published In

International Journal of Forecasting

DOI

ISSN

0169-2070

Publication Date

October 1, 2022

Volume

38

Issue

4

Start / End Page

1531 / 1545

Related Subject Headings

  • Econometrics
  • 4905 Statistics
  • 3802 Econometrics
  • 1505 Marketing
  • 1403 Econometrics
  • 0104 Statistics