Conformalize a forecasting function — conformalize • ahead

This function allows to conformalize any forecasting function.

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)