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Beyond Average Error through Oracle-Informed Stress Tests for Time-Series Forecasting

arXiv · AI, language, vision and robotics · article · Sep 19, 2026 · UTC

Average squared error cannot reveal whether forecasting performance degrades because the future becomes less predictable or because forecasts move farther from the conditional mean. We introduce paired, mechanism-controlled stress tests that decompose changes in expected squared error at each lead time into environmental risk and forecast-oracle distance, using an origin-conditioned predictive oracle unavailable to the evaluated models. Three end-to-end controls have known attribution. Specifically, the null, environmental-only, and information-gap controls verify that the pipeline assigns cha

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