Probabilistic Forecasting with Spline Quantile Function RNNs

Jan Gasthaus, Konstantinos Benidis, Yuyang Wang, Syama Sundar Rangapuram, David Salinas, Valentin Flunkert, Tim Januschowski

Abstract: In this paper, we propose a flexible method for probabilistic modeling with conditional quantile functions using monotonic regression splines. The shape of the spline is parameterized by a neural n...