torchTS
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Conformal quantile
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Enhance the library with conformal quantile prediction
torchts:
- Add
quantile_errinloss.py - Add
calibration,calibration_pred,conformal_predictinmodel.py - Modify
fit,_step,validation_stepinmodel.py
example:
- Add
quantile-regression/conformal-quantile-regression_example.ipynbanduantile-regression/conformal-quantile-timeseries_example.ipynbby using the conformal quantile prediction
Potential problem:
- Current model use validation_step to do the calibration adjustment, which may not be compatible if the user chooses to have the real validation set.
- Problem in time-series prediction, if the training/test uses a different data window, the result may have lower accuracy.