Add conformal prediction implementation#166
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wes-stone wants to merge 12 commits intomicrosoft:mainfrom
Open
Add conformal prediction implementation#166wes-stone wants to merge 12 commits intomicrosoft:mainfrom
wes-stone wants to merge 12 commits intomicrosoft:mainfrom
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@microsoft-github-policy-service agree company="Microsoft" |
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Replace old prediction interval function
create_prediction_intervals()infinal_models.Rwith conformal prediction implementation that uses rolling windows based upon different horizons. Also addscoverage %columns in final outputs for user to add transparency of prediction intervals.Can view some experiments here: https://github.com/wesstone12/finnts/tree/rollling-window-v3/logs
Some basic plots: https://github.com/wesstone12/finnts/tree/rollling-window-v3/plots
https://github.com/wesstone12/finnts/tree/rollling-window-v3 also has sandbox.R in main directory to get up and running quick.
Things to look into: