Beyond MSE: Rethinking the Evaluation Metric and Benchmarking for Irregular Time Series Forecasting
The Continuous-time Squared Error (CSE) is proposed, which employs importance weighting to eliminate the influence of the timestamp sampling distributions and theoretically proves that CSE's asymptotic estimation error with respect to continuous-time risk is no greater than that of MSE.
Rong Li, Haixin Xie, Xiao Wang et al.
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