conformalize: Conformalize a forecasting function

In Techtonique/ahead: Time Series Forecasting with uncertainty quantification

Conformalize a forecasting function

Description

This function allows to conformalize any forecasting function.

Usage

conformalize(
  FUN,
  y,
  h,
  level = 95,
  method = c("block-bootstrap", "surrogate", "kde", "bootstrap"),
  nsim = 100L,
  block_size = 5,
  seed = 123L,
  ...
)

Arguments

FUN	A forecasting function.
y	A time series (ts object or vector).
h	Forecasting horizon.
level	Confidence level.
method	Method to be used for conformalization (simulation of calibrated residuals).
nsim	Number of simulations.
block_size	Block size for block-bootstrap.
seed	Seed for reproducibility.
...	Additional arguments to be passed to the forecasting function.

Value

An object of class forecast.

Examples

y <- fdeaths
h <- 25L
obj <- conformalize(FUN=forecast::ets, y, h); plot(obj)
obj <- conformalize(FUN=HoltWinters, y=y, h=h, seasonal = "mult"); plot(obj)

Techtonique/ahead documentation built on Nov. 24, 2024, 10:33 a.m.