coverage: Calculate interval forecast coverage

In conformalForecast: Conformal Prediction Methods for Multistep-Ahead Time Series Forecasting

Calculate interval forecast coverage

Description

Calculate the mean coverage and the ifinn matrix for the prediction intervals on the validation set. If window is not NULL, a matrix of the rolling means of the interval forecast coverage is also returned.

Usage

coverage(object, ..., level = 95, window = NULL, na.rm = FALSE)

Arguments

object	An object of class "cvforecast" or "cpforecast".
...	Arguments x, LOWER, and UPPER if object is missing. Bounds may be time-series matrices or lists keyed by confidence level.
level	Target confidence level for the prediction intervals. Only one level can be specified. Defaults to 95.
window	If not NULL, the rolling mean matrix for the coverage is also returned. Defaults to NULL.
na.rm	A logical indicating whether NA values should be stripped before the rolling mean computation proceeds. Defaults to FALSE.

Value

A list of class "coverage" with the following components:

mean	Mean coverage across the validation set.
ifinn	An indicator matrix as a multivariate time series, where the hth column holds the coverage for forecast horizon h. The time index corresponds to the period for which the forecast is produced.
rollmean	If window is not NULL, a matrix of the rolling means of the interval forecast coverage will be returned.

See Also

cvforecast and the conformal methods, which produce object.

Other evaluation functions: accuracy.cvforecast(), width()

Examples

# Simulate time series from an AR(2) model
library(forecast)
set.seed(1)
series <- arima.sim(n = 200, list(ar = c(0.8, -0.5)), sd = sqrt(1))

# Cross-validation forecasting with a rolling window
far2 <- function(x, h, level) {
  Arima(x, order = c(2, 0, 0)) |>
    forecast(h = h, level)
}
fc <- cvforecast(series, forecastfun = far2, h = 3, level = 95, window = 50)

# Mean and rolling mean coverage for interval forecasts on validation set
cov_fc <- coverage(fc, level = 95, window = 50)
str(cov_fc)

# Coverage calculated directly from interval components
coverage(x = fc$x, LOWER = fc$LOWER, UPPER = fc$UPPER, level = 95)

conformalForecast documentation built on Oct. 15, 2026, 9:07 a.m.