Time series works amazing until a fundamental assumption breaks or the time frame extends too far. It's pretty much just drawing the existing pattern out further with mathematical precision. It only works till the game changes.
That’s the opening line, right? Uncertainty is a fact of life. With time series forecasts, the best you can ever hope to do is give probability bounds, and even then you can only really do so by either:
- limiting by the rules of the game (e.g. the laws of physics, or the rules of a stock exchange)
- using past data
The former is only useful if you’re the most risk averse person on the planet, and the latter is only useful if you are willing to assume the past is relevant.
When in fact the world and intelligent agents inside it are ensembles of ensembles of systems with various and changing confidence that flow and adjust as the world does