Ensemble Conformalized Quantile Regression for Probabilistic Time Series Forecasting.

This article presents a novel probabilistic forecasting method called ensemble conformalized quantile regression (EnCQR). EnCQR constructs distribution-free and approximately marginally valid prediction intervals (PIs), which are suitable for nonstationary and heteroscedastic time series data. EnCQR can be applied on top of a generic forecasting model, including deep learning architectures.