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probabilistic forecasting

Open ahmadshahi opened this issue 3 years ago • 1 comments

When we forecast futures values, there is always uncertainty around the values that needed to be quantified. This is called risk. It would be nice if we can provide a probabilistic forecast around the forecasted values.

ahmadshahi avatar Aug 02 '21 23:08 ahmadshahi

The idea of basic implementation is the following:

  1. Obtain set of TOP-n best pipelines from OptHistory (see 'leaderboard')
  2. Estimate the quantile-based boundaries of interval for each point of forecast
  3. Add interval to the visualisation of forecast.

Expected results:

  • new feature for the interval forecasts
  • modified visulisation
  • unit test for new features
  • new example (of modified old example) for interval forecasting

nicl-nno avatar Jun 16 '22 15:06 nicl-nno

Closed by https://github.com/aimclub/FEDOT/pull/1149

valer1435 avatar Sep 28 '23 10:09 valer1435