Extension to Alternative Loss Functions

Background: The theoretical framework establishes hard limits on forecastability based on the mutual information between the future observation and the available information set.

Question / Future Work: While the paper focuses on logarithmic loss, a future direction is to extend the entire framework—including the forecastability profile and informative horizon set definitions—to alternative, commonly used error metrics in time series forecasting, such as Mean Squared Error (MSE) or other proper scoring rules, to see if the hard limits derived from mutual information remain equally insightful.