The unreasonable difficulty of time series forecasting
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The unreasonable difficulty of time series forecasting
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Re: The unreasonable difficulty of time series forecasting
#2[deleted]
Re: The unreasonable difficulty of time series forecasting
#3"It is difficult to make predictions, especially about the future."
Re: The unreasonable difficulty of time series forecasting
#4I see that a lot of these are markets.
Yes, it’s hard to predict markets. Because anybody who can successfully predict markets, does so, makes money, and changes the market so their predictions lose their edge.
Time series forecasts are a lot easier if you are forecasting, say, disk use in your servers or whatnot. (By “easy” I mean you can do a simple prediction and get useful insights.)
Re: The unreasonable difficulty of time series forecasting
#5[deleted]
Re: The unreasonable difficulty of time series forecasting
#6Not at all unreasonable, why should predicting the future be easy for those of us living in the simulation?
Re: The unreasonable difficulty of time series forecasting
#7The question "what probability distribution generated this" is very hard to answer if you're only getting short window before the distribution changes. A lot of distributions could generate relatively "short" set dispersed data points and deciding which distribution is "really" creating the points might not even be meaningful. A distribution is a mathematical device, not something with a physical existence.
Re: The unreasonable difficulty of time series forecasting
#8The question "what probability distribution generated this" is very hard to answer if you're only getting short window before the distribution changes. A lot of distributions could generate relatively "short" set dispersed data points and deciding which distribution is "really" creating the points might not even be meaningful. A distribution is a mathematical device, not something with a physical existence.
Probability distributions don't generate data, they describe our uncertainty about its generation retrospectively. So there is no answer to that question. The lack of such an answer is at the heart of why such inference is hard: in most cases, there isnt a stable underlying reality of anything doing the distributing.
Re: The unreasonable difficulty of time series forecasting
#9Well, Jane Street cracked it
Re: The unreasonable difficulty of time series forecasting
#10[deleted]