Point-wise losses induce an irreducible bias in time series forecasting governed by sequence length and structural signal-to-noise ratio; DFT/DWT orthogonalization plus a harmonized lp norm reduces it and improves accuracy.
Due to the Markov property and stationarity: •Conditional Distribution: p(zt|z1:t−1)∼ N(µ t, σ2 ϵ )(36) whereµ t =c+ Pp i=1 ϕizt−i
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The Procrustean Bed of Time Series: The Optimization Bias in Point-wise Loss Functions
Point-wise losses induce an irreducible bias in time series forecasting governed by sequence length and structural signal-to-noise ratio; DFT/DWT orthogonalization plus a harmonized lp norm reduces it and improves accuracy.