Heads, Not Backbones: Output Heads Dominate Architectures on Fat-Tailed Returns
In a deep forecasting pipeline for fat-tailed financial returns at short horizons, which matters more - the backbone architecture or the output head? We compare four modern backbones (TimesNet, DLinear, N-BEATS, iTransformer) under three output heads: a point head, a single-Gaussian density head, and a Gaussian mixture density head with K=4 components. On S and P 500 monthly log-returns (1871-2023) under anchored walk-forward validation, the three heads form a strict gradient: switching from point to Gaussian improves CRPS by about 1.3 percent; switching from Gaussian to mixture adds a further about 2.4 percent. Switching between backbones, in contrast, changes CRPS by less than 1.5 perce...
| Authors | Sichao He, Yansong Zhang |
|---|---|
| Primary category | cs.LG |
| Published | 29 June 2026 |
| Last updated at source | 29 June 2026 |
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