如何使用Nixtla计算训练集(样本内)的Conformal预测区间?
训练集(样本内)预测区间计算需求
翻遍Nixtla官方文档,都没找到计算样本内(训练数据)预测区间的方法,目前只能实现未来时段的预测区间计算。
当前未来预测的代码示例
from statsforecast.models import SeasonalExponentialSmoothing, ADIDA, ARIMA from statsforecast.utils import ConformalIntervals # 创建模型列表及实例化参数 intervals = ConformalIntervals(h=24, n_windows=2) models = [ SeasonalExponentialSmoothing(season_length=24, alpha=0.1, prediction_intervals=intervals), ADIDA(prediction_intervals=intervals), ARIMA(order=(24,0,12), season_length=24, prediction_intervals=intervals), ] sf = StatsForecast( df=train, models=models, freq='H', ) levels = [80, 90] # 预测区间的置信水平 forecasts = sf.forecast(h=24, level=levels) forecasts = forecasts.reset_index() forecasts.head()
期望实现的调用方式
希望能实现类似以下的调用,直接传入目标数据集df_x就能获取对应训练集部分的预测区间:
forecasts = sf.forecast(df_x, level=levels)
内容的提问来源于stack exchange,提问作者PeCaDe
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