Retrodictive Forecasting: A Proof-of-Concept for Exploiting Temporal Asymmetry in Time Series Prediction

TL;DR

This paper introduces a retrodictive forecasting method that leverages temporal asymmetry in time series, using inverse MAP inference over a CVAE to improve predictions in irreversible processes.

Contribution

It presents a formal retrodictive inference framework, an inverse CVAE architecture, a model-free irreversibility diagnostic, and a validation protocol with successful empirical results.

Findings

Diagnostic correctly classifies all cases

Flow prior improves over Gaussian baseline on GO cases

Achieves 17.7% RMSE reduction on ERA5 solar irradiance

Abstract

We propose a retrodictive forecasting paradigm for time series: instead of predicting the future from the past, we identify the future that best explains the observed present via inverse MAP optimization over a Conditional Variational Autoencoder (CVAE). This conditioning is a statistical modeling choice for Bayesian inversion; it does not assert that future events cause past observations. The approach is theoretically grounded in an information-theoretic arrow-of-time measure: the symmetrized Kullback-Leibler divergence between forward and time-reversed trajectory ensembles provides both the conceptual rationale and an operational GO/NO-GO diagnostic for applicability. We implement the paradigm as MAP inference over an inverse CVAE with a learned RealNVP normalizing-flow prior and evaluate it on six time series cases: four synthetic processes with controlled temporal asymmetry and two ERA5 reanalysis datasets (wind speed and solar irradiance). The work makes four contributions: (i) a formal retrodictive inference formulation; (ii) an inverse CVAE architecture; (iii) a model-free irreversibility diagnostic; and (iv) a falsifiable validation protocol with four pre-specified predictions. All pre-specified predictions are empirically supported: the diagnostic correctly classifies all six cases; the learned flow prior improves over an isotropic Gaussian baseline on GO cases; the inverse MAP yields no spurious advantage on time-reversible dynamics; and on irreversible GO cases, it achieves competitive or superior RMSE relative to forward baselines, with a statistically significant 17.7% reduction over a forward MLP on ERA5 solar irradiance. These results provide a structured proof-of-concept that retrodictive forecasting can constitute a viable alternative to conventional forward prediction when statistical time-irreversibility is present and exploitable.