Rollcast: Proper-Score Gated Rolling Anchors for Adaptive Probabilistic Time-Series Forecasting

Giancarlo Vercellino

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arXiv · 2609.05561

Rollcast: Proper-Score Gated Rolling Anchors for Adaptive Probabilistic Time-Series Forecasting

Giancarlo Vercellino

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Abstract

Rollcast is a probabilistic forecasting method for univariate time series that combines a compact set of rolling statistical anchors rather than relying on a single global model. Rolling means, medians, extrema, regression endpoints, and quantiles define candidate forecast locations and a representation of the current state. A state-dependent softmax gate learns anchor probabilities by minimizing negative log predictive density, while residual distributions retrieved from similar historical states provide local uncertainty. Recursive simulation propagates the resulting mixture over multiple forecast horizons. The method is evaluated in a Monte Carlo study covering eight data-generating processes, including autoregressive, random-walk, local-trend, threshold, regime-switching, stochastic-volatility, heavy-tailed, and variance-break dynamics. Across 2,000 independent fitted series, Rollcast is compared with the true conditional predictive distribution generated by an oracle simulator. Overall empirical coverage is 86.2% for nominal 90% intervals and 91.5% for nominal 95% intervals. Predictive intervals are on average 13.6% wider than the oracle at the 90% level, while CRPS is 14.4% higher than oracle CRPS. Performance is closest to the oracle under autoregressive, threshold, stochastic-volatility, heavy-tailed, and variance-break dynamics, while local trends and regime switching are more challenging. The results indicate that Rollcast can construct competitive probabilistic forecasts from simple, interpretable local summaries, while also identifying limitations in calibration and recursive uncertainty propagation.

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Giancarlo Vercellino. 2026-09-03. Rollcast: Proper-Score Gated Rolling Anchors for Adaptive Probabilistic Time-Series Forecasting. https://arxiv.org/abs/2609.05561

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