There are at least two significant issues in this implementation. Until they are fixed, don't use this repo unless you really know what you are doing. These issues are:
1-Normalization is not done properly. The current implementation applies normalization to the batch, not to the dataset.
This is problematic because:
Similar values are represented differently in different samples.
Causes data leakage, information about future values are leaked through the normalization
2-get_sample_prediction function does not do forecasting with the predicted values. The original paper uses the true values for training and the predicted values for the testing. Currently, there is no Monte Carlo sampling based forecasting function implemented in the repo.
There are at least two significant issues in this implementation. Until they are fixed, don't use this repo unless you really know what you are doing. These issues are:
1-Normalization is not done properly. The current implementation applies normalization to the batch, not to the dataset. This is problematic because:
2-
get_sample_predictionfunction does not do forecasting with the predicted values. The original paper uses the true values for training and the predicted values for the testing. Currently, there is no Monte Carlo sampling based forecasting function implemented in the repo.