Group examples under gists/timeseries; add conformal benchmark - #51
Merged
Conversation
Reorganize the examples gallery into gists/timeseries/{tides,conformal}.
The conformal example benchmarks NNS.ARMA.optim prediction intervals
against conformal (ACI, AgACI, NexCP, PID, split) and probabilistic
baselines on a heteroskedastic, regime-switching series; NNS posts the
best achievable interval score.
Exclude gists/ from ruff so example scripts keep their scientific
notation (math-style names, unicode axis labels) without tripping the
package lint. mypy already scopes to src/nns and tests only.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01MxVLKYqazC2uuAW3P3MbAm
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
2 participants
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
Summary
Groups the examples gallery under
gists/timeseries/and adds a second example.gists/tides/→gists/timeseries/tides/(the Lord Kelvin tide-forecasting example from Add tide-forecasting example under gists/tides #50).gists/timeseries/conformal/— a benchmark ofNNS.ARMA.optimprediction intervals against conformal-prediction and probabilistic baselines under non-stationarity.Conformal benchmark
A walk-forward 90% prediction-interval benchmark (α = 0.10, 10 seeds) on a non-linear, heteroskedastic AR(1) with trend, two seasonal components, and regime-switching volatility. Contenders:
NNS.ARMA.optimvs. conformal (split, ACI, AgACI, NexCP, PID), probabilistic (EWMA-vol, recalibrated Gaussian), and oracles.Result: among all achievable methods,
NNS.ARMA.optimposts the best interval (Winkler) score — closest to the oracle and ahead of every conformal and Gaussian baseline — while keeping the conditional-coverage gap small and providing a full predictive distribution (finite CRPS/log-score).Notes
giststo ruff'sextend-excludeso example scripts keep their scientific notation (math-style names, unicode axis labels) instead of being mangled to satisfy the package lint. CI'sruff check .honors the exclude; mypy already scopes tosrc/nnsandtests.nnspackage or its tests.🤖 Generated with Claude Code
Generated by Claude Code