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[FEAT] Add `quantile` argument to the `StatsForecast.forecast` method

Open AzulGarza opened this issue 3 years ago • 0 comments

Is your feature request related to a problem? Please describe. It's not entirely straightforward to transform prediction intervals into quantiles.

Describe the solution you'd like The argument quantile. It should receive a list of floats between 0 and 1. The levels associated with those quantiles should be computed inside the forecast method. Then the final data frame should contain specific columns for each model and quantile (model-q-{quantile}). Therefore, a user could compute prediction intervals and also quantiles at the same time. Also, it will be possible to calculate only quantiles.

AzulGarza avatar Sep 29 '22 17:09 AzulGarza