Calculate interval forecast coverage

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

...

Additional inputs if object is missing.

level

Target confidence level for prediction intervals.

window

If not NULL, the rolling mean matrix for coverage is also returned.

na.rm

A logical indicating whether NA values should be stripped before the rolling mean computation proceeds.

Value

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

mean

Mean coverage across the validation set.

ifinn

A indicator matrix as a multivariate time series, where the \(h\)th 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 interval forecast coverage will be returned.

Examples

# Simulate time series from an AR(2) model
library(forecast)
series <- arima.sim(n = 1000, list(ar = c(0.8, -0.5)), sd = sqrt(1))

# Cross-validation forecasting with a rolling window of length 100
far2 <- function(x, h, level) {
  Arima(x, order = c(2, 0, 0)) |>
    forecast(h = h, level)
}
fc <- cvforecast(series, forecastfun = far2, h = 3, level = c(80, 95),
                 forward = TRUE, initial = 1, window = 100)

# Mean and rolling mean coverage for interval forecasts on validation set
cov_fc <- coverage(fc, level = 95, window = 100)
str(cov_fc)
#> List of 3
#>  $ mean    : Named num [1:3] 0.933 0.94 0.943
#>   ..- attr(*, "names")= chr [1:3] "h=1" "h=2" "h=3"
#>  $ ifinn   : Time-Series [1:900, 1:3] from 101 to 1000: TRUE TRUE TRUE TRUE TRUE TRUE ...
#>   ..- attr(*, "dimnames")=List of 2
#>   .. ..$ : NULL
#>   .. ..$ : chr [1:3] "h=1" "h=2" "h=3"
#>  $ rollmean: Time-Series [1:801, 1:3] from 200 to 1000: 0.91 0.91 0.9 0.9 0.9 0.9 0.9 0.9 0.9 0.91 ...
#>   ..- attr(*, "dimnames")=List of 2
#>   .. ..$ : NULL
#>   .. ..$ : chr [1:3] "h=1" "h=2" "h=3"
#>  - attr(*, "class")= chr "coverage"