probabilistic forecasting

Beyond MSE: Refining Forecasts with Autoregressive Rollout and Uncertainty

Mean squared error tells you how wrong your model is on average. It does not tell you how confident you should be in that number. This second installment in our probabilistic forecasting series tackles exactly that gap through autoregressive rollout and uncertainty propagation. Instead of settling for a single point estimate, the approach refines forecasts by carrying uncertainty forward. It is a practical next step for anyone working with physical signals.