width: Calculate interval forecast width

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

Calculate interval forecast width

Description

Calculate the mean width of prediction intervals on the validation set. If window is not NULL, a matrix of the rolling means of interval width is also returned. If includemedian is TRUE, the information of the median interval width will be returned.

Usage

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

Arguments

object	An object of class "cvforecast" or "cpforecast".
...	Additional inputs if object is missing.
level	Target confidence level for prediction intervals.
includemedian	If TRUE, the median interval width will also be returned.
window	If not NULL, the rolling mean (and rolling median if applicable) matrix for interval width will also be returned.
na.rm	A logical indicating whether NA values should be stripped before the rolling mean and rolling median computation proceeds.

Value

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

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

Examples

# Simulate time series from an AR(2) model
library(forecast)
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,
                 forward = TRUE, initial = 1, window = 50)

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

conformalForecast documentation built on Nov. 5, 2025, 6:01 p.m.