DeepLévy learns context-dependent mixtures of Lévy stable distributions for multi-horizon time series forecasting by matching empirical and parametric characteristic functions, yielding improved tail risk metrics over standard deep probabilistic models.
A method for simulating stable random variables.Journal of the american statistical association, 71(354):340–344
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DeepL\'evy: Learning Heavy-Tailed Uncertainty in Highly Volatile Time Series
DeepLévy learns context-dependent mixtures of Lévy stable distributions for multi-horizon time series forecasting by matching empirical and parametric characteristic functions, yielding improved tail risk metrics over standard deep probabilistic models.