## Your Model's MSE Is Lying to You: Part II Autoregressive rollout and uncertainty propagation. Second in a series on probabilistic forecasting for physical signals. In a previous article, we saw why training with MSE forces a model to report only the conditional mean, and how Gaussian NLL lets it learn an honest per-step uncertainty σ\sigmaσ as well. That was the one-step story. This post picks up where that left off. Everything we built in Part I — the Gaussian NLL, the two-term loss, the proof that the model learns both the conditional mean and the conditional variance — was about…