Joint KL yields horizon-free approximation but an information-theoretic lower bound of order Omega(H) for estimation error in autoregressive learning, with matching computationally efficient upper bounds.
DeepAR: Probabilistic forecasting with autoregressive recurrent networks.International Journal of Forecasting, 36(3):1181–1191, 2020
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CAST is a successor-local operator for causal forecasting of simplex-valued time series that retrieves empirical successors from causal context, stabilizes them with a persistence anchor, and applies bounded local stochastic transport while preserving the simplex by construction.
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Autoregressive Learning in Joint KL: Sharp Oracle Bounds and Lower Bounds
Joint KL yields horizon-free approximation but an information-theoretic lower bound of order Omega(H) for estimation error in autoregressive learning, with matching computationally efficient upper bounds.
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CAST: Causal Anchored Simplex Transport for Distribution-Valued Time Series
CAST is a successor-local operator for causal forecasting of simplex-valued time series that retrieves empirical successors from causal context, stabilizes them with a persistence anchor, and applies bounded local stochastic transport while preserving the simplex by construction.