Conformal Prediction Methods for Multistep-Ahead Time Series Forecasting
Accuracy measures for a cross-validation model and a conformal predict...
Autocorrelated multistep-ahead conformal prediction method
Adaptive conformal prediction method
Conformal prediction
conformalForecast: Conformal Prediction Methods for Multistep-Ahead Ti...
Calculate interval forecast coverage
Time series cross-validation forecasting
Interval estimate accuracy measures
Create lags or leads of a matrix
Conformal PID control method
Point estimate accuracy measures
Classical split conformal prediction method
Update and repeform cross-validation forecasting and conformal predict...
Calculate interval forecast width
Methods and tools for performing multistep-ahead time series forecasting using conformal prediction methods including classical conformal prediction, adaptive conformal prediction, conformal PID (Proportional-Integral-Derivative) control, and autocorrelated multistep-ahead conformal prediction. The methods were described by Wang and Hyndman (2024) <doi:10.48550/arXiv.2410.13115>.
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