The R package conformalForecast provides methods and tools for performing multistep-ahead time series forecasting using conformal prediction methods including classical conformal prediction, adaptive conformal prediction, conformal PID control, and Multistep-ahead conformal prediction.
You can install the development version of conformalForecast from GitHub with:
# install.packages("remotes")
remotes::install_github("xqnwang/conformalForecast")This is a basic example which shows you how to perform a classical conformal prediction method:
library(conformalForecast)
library(forecast)
# Simulate time series from an AR(2) model
series <- arima.sim(n = 1000, list(ar = c(0.8, -0.5)), sd = sqrt(1))
# Time series cross-validation
far2 <- function(x, h, level) {
Arima(x, order = c(2, 0, 0)) |>
forecast(h = h, level)
}
fc <- cvforecast(series, forecastfun = far2, h = 3, level = c(80, 95),
forward = TRUE, initial = 1, window = 100)
# Classical conformal prediction
scpfc <- scp(fc, symmetric = FALSE, ncal = 100, rolling = TRUE)
# Interval forecast accuracy
accuracy(scpfc, byhorizon = TRUE)
# Mean coverage
coverage(scpfc, window = 500, level = 95)
# Mean and median interval width
width(scpfc, window = 500, level = 95, includemedian = TRUE)This package is free and open source software, licensed under GPL-3.