Package index • conformalForecast

Forecasting workflow

Generate multistep-ahead forecasts by time series cross-validation, conformalize them, and update the result as new observations arrive.

cvforecast(): Time series cross-validation forecasting
conformal(): Conformal prediction
update(<cpforecast>): Update and reperform cross-validation forecasting and conformal prediction

Conformal prediction methods

The calibration algorithms dispatched by conformal().

scp(): Classical split conformal prediction method
acp(): Adaptive conformal prediction method
pid(): Conformal PID control method
acmcp(): Autocorrelated multistep-ahead conformal prediction method

Forecast evaluation

Assess point and interval forecast performance.

accuracy(<cvforecast>) accuracy(<cpforecast>): Accuracy measures for a cross-validation model and a conformal prediction model
coverage(): Calculate interval forecast coverage
width(): Calculate interval forecast width
ME() MAE() MSE() RMSE() MPE() MAPE() MASE() RMSSE() point_measures: Point estimate accuracy measures
MSIS() winkler_score() interval_measures: Interval estimate accuracy measures

Utilities

lagmatrix(): Create lags or leads of a matrix

Package overview

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