RDIT: Residual-based Diffusion Implicit Models for Probabilistic Time Series Forecasting
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arXiv
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| _version_ | 1866918134396485632 |
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| author | Lai, Chih-Yu Ning, Yu-Chien Boning, Duane S. |
| author_facet | Lai, Chih-Yu Ning, Yu-Chien Boning, Duane S. |
| contents | Probabilistic Time Series Forecasting (PTSF) plays a critical role in domains requiring accurate and uncertainty-aware predictions for decision-making. However, existing methods offer suboptimal distribution modeling and suffer from a mismatch between training and evaluation metrics. Surprisingly, we found that augmenting a strong point estimator with a zero-mean Gaussian, whose standard deviation matches its training error, can yield state-of-the-art performance in PTSF. In this work, we propose RDIT, a plug-and-play framework that combines point estimation and residual-based conditional diffusion with a bidirectional Mamba network. We theoretically prove that the Continuous Ranked Probability Score (CRPS) can be minimized by adjusting to an optimal standard deviation and then derive algorithms to achieve distribution matching. Evaluations on eight multivariate datasets across varied forecasting horizons demonstrate that RDIT achieves lower CRPS, rapid inference, and improved coverage compared to strong baselines. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2509_02341 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | RDIT: Residual-based Diffusion Implicit Models for Probabilistic Time Series Forecasting Lai, Chih-Yu Ning, Yu-Chien Boning, Duane S. Machine Learning Artificial Intelligence Probabilistic Time Series Forecasting (PTSF) plays a critical role in domains requiring accurate and uncertainty-aware predictions for decision-making. However, existing methods offer suboptimal distribution modeling and suffer from a mismatch between training and evaluation metrics. Surprisingly, we found that augmenting a strong point estimator with a zero-mean Gaussian, whose standard deviation matches its training error, can yield state-of-the-art performance in PTSF. In this work, we propose RDIT, a plug-and-play framework that combines point estimation and residual-based conditional diffusion with a bidirectional Mamba network. We theoretically prove that the Continuous Ranked Probability Score (CRPS) can be minimized by adjusting to an optimal standard deviation and then derive algorithms to achieve distribution matching. Evaluations on eight multivariate datasets across varied forecasting horizons demonstrate that RDIT achieves lower CRPS, rapid inference, and improved coverage compared to strong baselines. |
| title | RDIT: Residual-based Diffusion Implicit Models for Probabilistic Time Series Forecasting |
| topic | Machine Learning Artificial Intelligence |
| url | https://arxiv.org/abs/2509.02341 |