Forecasting is not prophecy: dealing with high-dimensional probabilistic forecasts in practice

Invited talk for ISI-WSC 2019 in Kuala Lumpur Many large organizations need to forecast huge numbers of related time series every week. Manufacturing companies forecast product demand to plan their supply chains; call centres forecast call volume to inform staff scheduling; technology companies forecast web traffic to maintain service levels; energy companies forecast electricity demand to prevent blackouts. In each case, what is required is a high-dimensional probabilistic forecast describing multivariate quantiles of the uncertain future, not a vector of point forecasts.<img …