Given the documentation of nixtla
y dont find any way to compute the prediction intervals for insample prediction (training data) but just for future predicitons.
I put an example of what I can achieve but just to predict (future).
from statsforecast.models import SeasonalExponentialSmoothing, ADIDA, ARIMA
from statsforecast.utils import ConformalIntervals
# Create a list of models and instantiation parameters
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] # confidence levels of the prediction intervals
forecasts = sf.forecast(h=24, level=levels)
forecasts = forecasts.reset_index()
forecasts.head()
So my goal will be to do something like:
forecasts = sf.forecast(df_x, level=levels)
So we can have any prediction intervals in the training set.
from Conformal prediction intervals insample data nixtla
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