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Published 20 hours ago • verified publisher icon ourownstory

Confidence Intervals from forecast

Open racoutinho opened this issue 4 years ago • 5 comments

Hi all! I'm testing the NeuralProphet and noticed that just like the Prophet, this framework doesn't provide the confidence intervals from the forecast. My question is if this is feasible for this kind of implementation or it`s a feature to be provided soon.

Thanks in advance!!

racoutinho avatar Dec 02 '20 18:12 racoutinho

Hi Roberto, Thank you for your question. We are currently working on adding this capability. The overall forecast CI intervals are close to ready to be merged. For individual components' CI, it may take a little longer. Do you have use/need for those, too? Best, Oskar

ourownstory avatar Dec 02 '20 19:12 ourownstory

Hi Oskar, thanks for your reply. For now, the overall forecast CI intervals are enough. Best regards!

racoutinho avatar Dec 03 '20 12:12 racoutinho

@HansikaPH is working on said feature. She'll link her PR to this issue soon.

ourownstory avatar Dec 03 '20 22:12 ourownstory

Closing as it is a duplicate of #11 @racoutinho if you track the linked issue, you'll be notified when it's merged.

ourownstory avatar Dec 05 '20 22:12 ourownstory

Has there been any news on this? I still fail to figure out how to plot CI using neuralprophet :(.

I have no problem with this using prophet.

Zephyr69 avatar Aug 11 '22 12:08 Zephyr69

Upvote on this topic, would be super useful to be able to plot CIs

fctruter avatar Feb 10 '23 07:02 fctruter

We have two methods to create and plot confidence intervals (CIs) on forecasts:

  1. Quantile Regression using quantiles param in NeuralProphet class (see tutorial here)
  2. Split Conformal Prediction using .conformal_predict() method in NeuralProphet class (see tutorial here)

Kevin-Chen0 avatar Feb 26 '23 16:02 Kevin-Chen0