Ensemble Conformalized Quantile Regression for Probabilistic Time Series Forecasting

1 code implementation • 17 Feb 2022 • Vilde Jensen, Filippo Maria Bianchi, Stian Norman Anfinsen

EnCQR constructs distribution-free and approximately marginally valid prediction intervals (PIs), which are suitable for nonstationary and heteroscedastic time series data.

Conformal Prediction Prediction Intervals +4