Beyond Static Uncertainty: Modeling Temporal Uncertainty Dynamics for Probabilistic Time Series Forecasting 文章

arXiv:2603.24254v2 Announce Type: replace-cross Abstract: Real-world time series exhibit temporally structured uncertainty: volatility clusters in turbulent regimes, dissipates in stable periods, and shifts abruptly around structural breaks. Yet many probabilistic forecasting methods estimate predictive uncertainty as an independent per-step quantity, leaving the evolution and persistence of volatility regimes under-modeled. We formalize this missing dimension as Temporal Uncertainty Dynamics and instantiate it in the Volatility Dynamics Variational Autoencoder (VolDy-VAE), a non-autoregressive generative forecaster with a location-scale decoder. VolDy-VAE combines a location path for mean prediction with a recurrent scale path that transfers and evolves a volatility hidden state from the look-back window to the forecasting horizon, enabling temporally coherent predictive variances.