{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/quantile-deep-learning-models-for-multi-step","title":"Quantile deep learning models for multi-step ahead time series prediction","arxiv_id":"2411.15674","date":"2024-11-24","proceeding":null,"authors":["Jimmy Cheung","Smruthi Rangarajan","Amelia Maddocks","Xizhe Chen","Rohitash Chandra"],"abstract":"Uncertainty quantification is crucial in time series prediction, and quantile regression offers a valuable mechanism for uncertainty quantification which is useful for extreme value forecasting. Although deep learning models have been prominent in multi-step ahead prediction, the development and evaluation of quantile deep learning models have been limited. We present a novel quantile regression deep learning framework for multi-step time series prediction. In this way, we elevate the capabilities of deep learning models by incorporating quantile regression, thus providing a more nuanced understanding of predictive values. We provide an implementation of prominent deep learning models for multi-step ahead time series prediction and evaluate their performance under high volatility and extreme conditions. We include multivariate and univariate modelling, strategies and provide a comparison with conventional deep learning models from the literature. Our models are tested on two cryptocurrencies: Bitcoin and Ethereum, using daily close-price data and selected benchmark time series datasets. The results show that integrating a quantile loss function with deep learning provides additional predictions for selected quantiles without a loss in the prediction accuracy when compared to the literature. Our quantile model has the ability to handle volatility more effectively and provides additional information for decision-making and uncertainty quantification through the use of quantiles when compared to conventional deep learning models.","url_abs":"https://arxiv.org/abs/2411.15674v1","url_pdf":"https://arxiv.org/pdf/2411.15674v1.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"quantile-deep-learning-models-for-multi-step","repo_url":"https://github.com/sydney-machine-learning/quantiledeeplearning","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":0,"framework":"none","reach":null}],"tasks":[{"task_slug":"deep-learning","task_name":"Deep Learning"},{"task_slug":"prediction","task_name":"Prediction"},{"task_slug":"time-series-1","task_name":"Time Series"},{"task_slug":"time-series-prediction","task_name":"Time Series Prediction"},{"task_slug":"uncertainty-quantification","task_name":"Uncertainty Quantification"},{"task_slug":"quantile-regression","task_name":"quantile regression"},{"task_slug":"regression-1","task_name":"regression"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}