Comparative Evaluation of LSTM, TCN, and Quantile Regression with Conformal Prediction for Time Series Forecasting under Uncertainty

Accurate forecasting with uncertainty quantification is essential in high-risk time series applications. Conformal Prediction (CP) offers a model-agnostic way to generate valid prediction intervals. This paper compares three forecasting models-LSTM, TCN, and Quantile Regression-combined with Split CP for uncertainty-aware prediction. Experiments on three real-world datasets-S&P 500 (finance), PM2.5 (environment), and total phosphorus in wastewater (industrial control)-highlight key trade-offs. CQR achieves the best coverage but with wide intervals and lower accuracy. LSTM offers sharper predictions but suffers from under-coverage. TCN provides a balanced performance across most tasks. We evaluate empirical coverage, interval width, prediction accuracy, and calibration curves. Results show that model choice depends on domain-specific needs: accuracy, reliability, or robustness. This work offers practical guidance for applying CP-based forecasting and is, to our knowledge, the first to benchmark LSTM, TCN, and QR under a unified conformal framework across multiple domains.

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Published
2025-05-23
DOI
https://doi.org/10.1109/ccai65422.2025.11189578
Primary Topic
Stock Market Forecasting Methods
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article
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article

Comparative Evaluation of LSTM, TCN, and Quantile Regression with Conformal Prediction for Time Series Forecasting under Uncertainty

Wei Bai, Baolong Hao, Bailing Zhang
Stock Market Forecasting Methods
article

Comparative Evaluation of LSTM, TCN, and Quantile Regression with Conformal Prediction for Time Series Forecasting under Uncertainty

Wei Bai, Baolong Hao, Bailing Zhang
article en

Abstract

Accurate forecasting with uncertainty quantification is essential in high-risk time series applications. Conformal Prediction (CP) offers a model-agnostic way to generate valid prediction intervals. This paper compares three forecasting models-LSTM, TCN, and Quantile Regression-combined with Split CP for uncertainty-aware prediction. Experiments on three real-world datasets-S&P 500 (finance), PM2.5 (environment), and total phosphorus in wastewater (industrial control)-highlight key trade-offs. CQR achieves the best coverage but with wide intervals and lower accuracy. LSTM offers sharper predictions but suffers from under-coverage. TCN provides a balanced performance across most tasks. We evaluate empirical coverage, interval width, prediction accuracy, and calibration curves. Results show that model choice depends on domain-specific needs: accuracy, reliability, or robustness. This work offers practical guidance for applying CP-based forecasting and is, to our knowledge, the first to benchmark LSTM, TCN, and QR under a unified conformal framework across multiple domains.

Ningbo University (CN), Zhejiang Sci-Tech University (CN), University of Nottingham Ningbo China (CN), Ningbo University of Technology (CN), Ningbo Science and Technology Bureau (CN)
Openalex Percentile: Top 66%
Stock Market Forecasting Methods
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Comparative Evaluation of LSTM, TCN, and Quantile Regression with Conformal Prediction for Time Series Forecasting under Uncertainty — Wei Bai, Baolong Hao, et al. · (2025) | TGRS Research Map | TGRS