Paper:
We propose to tackle a time series regression problem by computing temporal evolution of a probability density function to provide a probabilistic forecast. A Recurrent Neural Network (RNN) based model is employed to learn a nonlinear operator for temporal evolution of a probability density function. We use a softmax layer for a numerical discretization of a smooth probability density functions, which transforms a function approximation problem to a classification task. Explicit and implicit regularization strategies are introduced to impose a smoothness condition on the estimated probability distribution. A Monte Carlo procedure to compute the temporal evolution of the distribution for a multiple-step forecast is presented. The evaluation of the proposed algorithm on three synthetic and two real data sets shows advantage over the compared baselines.

Review:
Interesting ideas that extend LSTM to produce probabilistic forecasts for univariate time series, experiments are okay. Unclear if this would work at all in higher-dimensional time series. It is also unclear to me what are the sources of the uncertainties captured.
The author proposed to incorporate 2 different discretisation techniques into LSTM, in order to produce probabilistic forecasts of univariate time series. The proposed approach deviates from the Bayesian framework where there are well-defined priors on the model, and the parameter uncertainties are subsequently updated to incorporate information from the observed data, and propagated to the forecasts. Instead, the conditional density p(y_t|y_{1:t-1|, \theta}) was discretised by 1 of the 2 proposed schemes and parameterised by a LSTM. The LSTM was trained using discretised data and cross-entropy loss with regularisations to account for ordering of the discretised labels. Therefore, the uncertainties produced by the model appear to be a black-box. It is probably unlikely that the discretisation method can be generalised to high-dimensional setting?
Quality: The experiments with synthetic data sufficiently showed that the model can produce good forecasts and predictive standard deviations that agree with the ground truth. In the experiments with real data, it's unclear how good the uncertainties produced by the model are. It may be useful to compare to the uncertainty produced by a GP with suitable kernels. In Fig 6c, the 95pct CI looks more or less constant over time. Is there an explanation for that?
Clarity: The paper is well-written. The presentations of the ideas are pretty clear.
Originality: Above average. I think the regularisation techniques proposed to preserve the ordering of the discretised class label are quite clever.
Significance: Average. It would be excellent if the authors can extend this to higher dimensional time series.
I'm unsure about the correctness of Algorithm 1 as I don't have knowledge in SMC.