Are We Winning the Wrong Game? Revisiting Evaluation Practices for Long-Term Time Series Forecasting

The article critiques the current evaluation practices in long-term time series forecasting (LTSF), arguing that a focus on reducing pointwise error metrics like MSE and MAE does not align with real-world forecasting needs such as temporal structure preservation and robustness to regime shifts. It proposes a multi-dimensional evaluation approach to better measure progress in LTSF, emphasizing the importance of structural coherence and decision-level relevance for content creators aiming to improve forecasting models.

Read the full article at arXiv stat.ML

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