Probabilistic forecasting is essential for modern risk management, allowing decision-makers to quantify uncertainty in critical systems. This paper tackles this challenge using the volatile REFIT household dataset, which is complicated by a large structural data gap. We first address this by conducting a rigorous comparative experiment to select a Seasonal Imputation method, demonstrating its superiority over linear interpolation in preserving the data's underlying distribution. We then systematically evaluate a hierarchy of models, progressing from classical baselines (SARIMA, Prophet) to machine learning (XGBoost) and advanced deep learning architectures (LSTM). Our findings reveal that classical models fail to capture the data's non-linear, regime-switching behavior. While the LSTM provided the most well-calibrated probabilistic forecast, the Temporal Fusion Transformer (TFT) emerged as the superior all-round model, achieving the best point forecast accuracy (RMSE 481.94) and producing safer, more cautious prediction intervals that effectively capture extreme volatility.
翻译:概率预测对于现代风险管理至关重要,它使决策者能够量化关键系统中的不确定性。本文利用波动性强的REFIT家庭数据集应对这一挑战,该数据集因存在较大的结构性数据缺口而变得复杂。我们首先通过进行严格的对比实验来选择一种季节性插补方法,证明其在保持数据底层分布方面优于线性插补。随后,我们系统性地评估了一系列模型,从经典基线模型(SARIMA、Prophet)到机器学习方法(XGBoost),再到先进的深度学习架构(LSTM)。研究结果表明,经典模型无法捕捉数据的非线性及状态切换行为。虽然LSTM提供了最校准良好的概率预测,但时序融合Transformer(TFT)成为表现更全面的优势模型,实现了最佳的点预测精度(RMSE 481.94),并生成了更安全、更谨慎的预测区间,能有效捕捉极端波动性。