Today, give a try to Techtonique web app, a tool designed to help you make informed, data-driven decisions using Mathematics, Statistics, Machine Learning, and Data Visualization. Here is a tutorial with audio, video, code, and slides: https://moudiki2.gumroad.com/l/nrhgb. 100 API requests are now (and forever) offered to every user every month, no matter the pricing tier.
Hi everyone, best wishes for 2025!
I just got this preprint paper rejected by the International Journal of Forecasting (IJF) despite a benchmark on over 30,000 time series (code from the paper in R and Python available in this post). The method described in the preprint paper, despite being simple (of course, it’s always simple after implementing the idea), is performing on par or much better than the state of the art (which may certainly frustrate some great minds, I get it), as you’ll see below.
So, how do you go from first round reviews like:
- “The comparison with other conformal prediction methods is performed only on simulated data, not on any real-world data at all.”: among the 275 time series from the first submission, 240 were real-world data. See https://github.com/Techtonique/datasets/blob/main/time_series/univariate/250datasets/250timeseries.txt for the list of time series, and https://github.com/Techtonique/datasets/blob/main/time_series/univariate/250datasets/250datasets_characteristics.R for their characteristics. And the proferssor said “at all”.
- “So the authors should demonstrate the merit of their method on a more standard dataset, such as the M4”: see next paragraph for more details.
- Reviewer 1: “I thank the author(s) for the work. It is great to see how […] Conformal Prediction methods grow[s], especially in challenging tasks such as time series forecasting. I strongly appreciate the use of a big data set for the benchmark and that the code is shared. I also appreciate that 2 forecasting models and 5 conformalization procedures are compared (the one using KDE, the one using surrogate, the one using bootstrap, and the state of the art ACI and AgACI)”. Remark: the initial big data set contained 250 time series, and the final data in the second submission’s set contained over 30,000 time series (including M3 and M5 competition data).
- Reviewer 2: “The paper is well-written and clearly structured”.
To a rejection saying things such as:
- About point 2., and after trying to demonstrate the merits on M3 and M5 competition data in submission 2: “The paper shows a factorial application of too many variants to too many datasets which make it hard to follow”. Ok, may look messy, but is there really such a thing as “too many datasets” for proving a point? (No) If so, why not asking to trim down?
- I used “doesn’t” instead of “does not”: this can be modified at edition. Why are we discussing (along with a Grammarly link I was sent :o) this in such length and over 8 months, as if it really mattered?
- I used the term “calibrated residuals”: one reviewer suggested “calibratION residuals” instead while another suggested calling them just “residuals”, such a distraction, what do I do?
- I used the term “predictive simulation”: what should I call it then and why does it really matter? I used simulation of future outcomes indeed, see page 12 of the preprint paper (again, IMHO, a pure distraction)
- “The forecasting community strongly benefits from new approaches and experiments on how to quantify uncertainty, that is why I appreciate the author’s contribution.” Hmm… Okay then…
- “can only accept a limited number of them, which make substantial contributions to the science and practice of forecasting”: knock-out punch.
I’m definitely not the type to whine or cry foul (this is a battle-tested sentence), but I’m curious. Do you see any coherence in the last 2 paragraphs, or am I losing my mind? (No) One thing that was asked and that I’ll address (and I guess it’ll make sense) is why not training the models on the whole training set at the end of my conformal prediction algorithm? Because I want to avoid data leakage, and I also want to use the most contemporaneous data for forecasting.
Interested in seeing the method from the paper in action more directly?
- See this other post, which basically contains one-liner codes for conformalizing R packages such as
forecast. - See this interactive dashboard.
- Execute the Python and R code of the paper, available in this post (note: takes looong hours to execute).
On a brighter note, a stable version of www.techtonique.net has now been released. A tutorial on how to use it is available https://moudiki2.gumroad.com/l/nrhgb.
Contents of the post
- 1 - M3 competition (R code), 3003 time series
- 2 - M5 competition (Python code), 42840 time series aggregated by item (3049 items)
- 3 - 250 datasets (R code), 240 real-world, 10 synthetic
- 4 - 25 additional synthetic datasets (R code)
Benchmarking errors in the examples below are measured by:
- Coverage rate: the percentage of future values that are within the prediction intervals, for 80% and 95% prediction intervals
- Winkler score: the length of the prediction intervals, penalized by every time the true future value is outside the interval (see https://www.otexts.com/fpp3/distaccuracy.html#winkler-score for more details). The lower the score, the better the method.
Plus, splitconformal denotes the method described in the paper.
Conformalized predictive simulations for univariate time series¶
1 - M3 competition (R code), 3003 time series¶
1 - 0 - Import packages¶
In [ ]:
!pip install rpy2
In [ ]:
%load_ext rpy2.ipython
In [ ]:
%%R
utils::install.packages(c('foreach', 'forecast', 'fpp', 'fpp2', 'remotes', 'Mcomp'),
repos="https://cran.r-project.org")
remotes::install_github("Techtonique/ahead")
remotes::install_github("thierrymoudiki/simulatetimeseries")
suppressWarnings(library(datasets))
suppressWarnings(library(forecast))
suppressWarnings(library(fpp2))
suppressWarnings(library(ahead))
suppressWarnings(library(Mcomp))
In [ ]:
%%R
remotes::install_github("herbps10/AdaptiveConformal", force=TRUE)
suppressWarnings(library(AdaptiveConformal))
In [ ]:
%%R
remotes::install_github("thierrymoudiki/misc")
suppressWarnings(library(misc))
In [7]:
%%R
print(length(M3))
print(length(M3[[1000]]$x))
print(length(M3[[1000]]$xx))
print(length(M3[[100]]$x))
print(length(M3[[100]]$xx))
[1] 3003 [1] 44 [1] 8 [1] 14 [1] 6
1 - 1 - Functions and data set¶
In [8]:
%%R
winkler_score <- function(obj, actual, level = 95) {
alpha <- 1 - level / 100
lt <- obj$lower
ut <- obj$upper
n_points <- length(actual)
stopifnot((n_points == length(lt)) && (n_points == length(ut)))
diff_lt <- lt - actual
diff_bounds <- ut - lt
diff_ut <- actual - ut
score <-
diff_bounds + (2 / alpha) * (pmax(diff_lt, 0) + pmax(diff_ut, 0))
return(mean(score))
}
# moving block bootstrap
mbb2 <- function(r,
n,
b,
seed = 123,
return_indices = FALSE)
{
n_obs <- dim(r)[1]
n_series <- dim(r)[2]
b <- floor(min(max(3L, b), n_obs - 1L))
if(n >= n_obs)
stop("forecasting horizon must be < number of observations")
n <- min(n_obs, n)
set.seed(seed) # important for base::sample below
r_bt <- matrix(NA, nrow = n_obs, ncol = dim(r)[2]) # local vector for a bootstrap replication
#cat("n_obs", n_obs, "\n")
#cat("b", b, "\n")
for (i in 1:ceiling(n_obs/b)) {
#cat("i: ", i, "----- \n")
endpoint <- sample(b:n_obs, size = 1)
#cat("endpoint", endpoint, "\n")
try(r_bt[(i - 1)*b + 1:b, ] <- r[endpoint - (b:1) + 1, ],
silent = TRUE)
}
tmp <- matrix(r_bt[(1:n), ], nrow = n, ncol = n_series)
if(return_indices == FALSE)
{
return(tmp)
} else {
return(arrayInd(match(tmp, r), .dim = dim(r))[1:n, 1])
}
}
mbb2 <- memoise::memoise(mbb2)
# split data set
split_dataset <- function(x,
split_prob = 0.8,
transformation=c("none",
"boxcox",
"diff",
"diffboxcox"))
{
transformation <- match.arg(transformation)
if (identical(transformation, "boxcox"))
{
x <- forecast::BoxCox(x, lambda = "auto")
}
if (identical(transformation, "diff"))
{
x <- diff(x)
}
if (identical(transformation, "diffboxcox"))
{
x <- diff(forecast::BoxCox(x, lambda = "auto"))
}
freq_x <- frequency(x)
n <- floor(split_prob*length(x))
half_n <- floor(n/2)
x_train <- ts(x[1:half_n],
start=start(x),
frequency = freq_x)
x_calib <- ts(x[(half_n + 1):n],
start=tsp(x_train)[2] + 1 / freq_x,
frequency = freq_x)
x_test <- ts(x[(n + 1):length(x)],
start=tsp(x_calib)[2] + 1 / freq_x,
frequency = freq_x)
res <- vector("list", 4)
res$x <- x
res$x_train <- x_train
res$x_calib <- x_calib
res$x_test <- x_test
return(res)
}
split_dataset <- memoise::memoise(split_dataset)
# forecasting function
forecast_function <- function(x,
method = c("theta",
"dynrm",
"snaive"),
split_prob = 0.8,
block_size = 5,
B = 250,
level = 95,
seed=123)
{
obj_ts <- split_dataset(x, split_prob=split_prob)
method <- match.arg(method)
freq_x <- frequency(obj_ts$x)
fcast_func <- switch(method,
dynrm = ahead::dynrmf,
theta = forecast::thetaf,
snaive = forecast::snaive)
# calibration
obj <- fcast_func(obj_ts$x_train,
h=length(obj_ts$x_calib)) # train on training set predict on calibration set
calibrated_resids <- obj_ts$x_calib - obj$mean # obtain calibrated residuals
obj_fcast <- fcast_func(obj_ts$x_calib,
h=length(obj_ts$x_test)) # train on calibration set
sims <- ts(sapply(1:B, function(i) mbb2(matrix(calibrated_resids,
ncol = 1),
n=length(obj_ts$x_test),
b=block_size,
seed=i+seed*100)),
start = start(obj_ts$x_test),
frequency = frequency(obj_ts$x_test))
preds <- obj_fcast$mean + sims
obj_fcast2 <- list()
obj_fcast2$level <- level
obj_fcast2$x <- obj_ts$x_calib
start_preds <- start(obj_fcast$mean)
obj_fcast2$mean <- ts(rowMeans(preds),
start = start_preds,
frequency = freq_x)
obj_fcast2$upper <- ts(apply(preds, 1, function(x)
stats::quantile(x, probs = 1 - (1 - level / 100) / 2)),
start = start_preds,
frequency = freq_x)
obj_fcast2$lower <- ts(apply(preds, 1, function(x)
stats::quantile(x, probs = (1 - level / 100) / 2)),
start = start_preds,
frequency = freq_x)
obj_fcast2$method <- method
class(obj_fcast2) <- "forecast"
return(obj_fcast2)
}
compute_errors <- function(obj, preds)
{
res <- vector("list", 8)
true <- obj$mean
names(res) <- c("coverage", "winkler",
"ME", "RMSE", "MAE",
"MPE", "MAPE", "MASE")
res$coverage <- mean(true > obj$lower & true < obj$upper)*100
res$winkler <- winkler_score(obj, actual=true)
res$ME <- mean(true - preds)
res$RMSE <- sqrt(mean((true - preds)^2))
res$MAE <- mean(abs(true - preds))
res$MPE <- mean((true - preds)/true)
res$MAPE <- mean(abs(true - preds)/true)
res$MASE <- mean(abs(true - preds))/mean(abs(true - mean(true)))
return(res)
}
In [9]:
%%R
all_datasets <- lapply(M3, function(s) ts(c(s$x, s$xx),
start=start(s$x),
frequency=frequency(s$x)))
names(all_datasets) <- names(M3)
In [ ]:
%%R
library("AdaptiveConformal")
library("ahead")
library("simulatetimeseries")
library("foreach")
library("forecast")
In [11]:
%%R
conformal_methods <- c("splitconformal", "AgACI", "SAOCP", "SF-OGD")
metrics <- c("coverage", "winkler",
"ME", "RMSE", "MAE",
"MPE", "MAPE", "MASE")
# will contain results for each time series
params_grid <- expand.grid(conformal_methods, metrics)
colnames(params_grid) <- c("conformal_method", "metric")
params_grid <- misc::sort_df(params_grid, by="conformal_method", decreasing = FALSE)
params_grid <- cbind(params_grid, value=NA)
rownames(params_grid) <- NULL
print(params_grid)
conformal_method metric value 1 splitconformal coverage NA 2 splitconformal winkler NA 3 splitconformal ME NA 4 splitconformal RMSE NA 5 splitconformal MAE NA 6 splitconformal MPE NA 7 splitconformal MAPE NA 8 splitconformal MASE NA 9 AgACI coverage NA 10 AgACI winkler NA 11 AgACI ME NA 12 AgACI RMSE NA 13 AgACI MAE NA 14 AgACI MPE NA 15 AgACI MAPE NA 16 AgACI MASE NA 17 SAOCP coverage NA 18 SAOCP winkler NA 19 SAOCP ME NA 20 SAOCP RMSE NA 21 SAOCP MAE NA 22 SAOCP MPE NA 23 SAOCP MAPE NA 24 SAOCP MASE NA 25 SF-OGD coverage NA 26 SF-OGD winkler NA 27 SF-OGD ME NA 28 SF-OGD RMSE NA 29 SF-OGD MAE NA 30 SF-OGD MPE NA 31 SF-OGD MAPE NA 32 SF-OGD MASE NA
In [12]:
%%R
results <- vector("list", length(all_datasets))
names(results) <- names(all_datasets)
for (i in 1:length(all_datasets))
{
results[[i]] <- params_grid
}
In [13]:
%%R
print(results[[1]])
conformal_method metric value 1 splitconformal coverage NA 2 splitconformal winkler NA 3 splitconformal ME NA 4 splitconformal RMSE NA 5 splitconformal MAE NA 6 splitconformal MPE NA 7 splitconformal MAPE NA 8 splitconformal MASE NA 9 AgACI coverage NA 10 AgACI winkler NA 11 AgACI ME NA 12 AgACI RMSE NA 13 AgACI MAE NA 14 AgACI MPE NA 15 AgACI MAPE NA 16 AgACI MASE NA 17 SAOCP coverage NA 18 SAOCP winkler NA 19 SAOCP ME NA 20 SAOCP RMSE NA 21 SAOCP MAE NA 22 SAOCP MPE NA 23 SAOCP MAPE NA 24 SAOCP MASE NA 25 SF-OGD coverage NA 26 SF-OGD winkler NA 27 SF-OGD ME NA 28 SF-OGD RMSE NA 29 SF-OGD MAE NA 30 SF-OGD MPE NA 31 SF-OGD MAPE NA 32 SF-OGD MASE NA
1 - 2 - main loops¶
In [14]:
%%R
all_datasets[[1000]]
Qtr1 Qtr2 Qtr3 Qtr4 1980 4381.5 4107.5 3959.0 4117.5 1981 4182.5 4559.5 4652.0 4487.0 1982 4475.5 4472.0 4215.0 4282.0 1983 4424.5 4395.5 4466.5 4565.5 1984 4841.0 4645.0 4904.5 4980.5 1985 4953.5 4951.5 5021.5 5073.5 1986 5119.0 5120.5 5181.5 5071.0 1987 5188.5 5162.5 5511.0 5594.5 1988 5239.5 5800.5 5694.0 5884.0 1989 5841.0 6226.0 6268.5 6262.5 1990 6290.0 6621.5 6662.5 6745.5 1991 6722.0 6509.5 6523.0 6633.5 1992 7003.5 6702.0 7023.5 6970.0
In [15]:
%%R
(nb_iter_datasets <- length(all_datasets))
pb <- txtProgressBar(min = 0,
max = nb_iter_datasets, #nb_iter_datasets,
style = 3)
start_time <- proc.time()[3]
for (i in 1:nb_iter_datasets) # loop levels and methods
{
y <- all_datasets[[i]]
splitted_ts <- simulatetimeseries::splitts(y = y,
split_prob = 0.8)
y_train <- splitted_ts$training
y_test <- splitted_ts$testing
idx_row <- 1 # start filling results[[i]] at row
for (j in 1:nrow(results[[i]]))
{
seed_i_j<- 100*i+300*j
set.seed(seed_i_j)
conformal_method <- as.character(results[[i]]$conformal_method[j])
if (conformal_method == "splitconformal")
{
obj <- forecast_function(y)
result_accuracy <- compute_errors(obj, y_test)
results[[i]][idx_row, 3] <- result_accuracy$coverage
results[[i]][idx_row + 1, 3] <- result_accuracy$winkler
results[[i]][idx_row + 2, 3] <- result_accuracy$ME
results[[i]][idx_row + 3, 3] <- result_accuracy$RMSE
results[[i]][idx_row + 4, 3] <- result_accuracy$MAE
results[[i]][idx_row + 5, 3] <- result_accuracy$MPE
results[[i]][idx_row + 6, 3] <- result_accuracy$MAPE
results[[i]][idx_row + 7, 3] <- result_accuracy$MASE
}
if (conformal_method %in% c("AgACI", "SAOCP", "SF-OGD"))
{
idx_method <- switch(conformal_method,
"AgACI" = 0,
"SAOCP" = 8,
"SF-OGD" = 16)
obj <- forecast::thetaf(y_train, h=length(y_test)
, level = 95L) # the function AdaptiveConformal::aci seems to be broken: for obs1, lower=mean=upper
result_accuracy <- compute_errors(obj, y_test)
preds <- obj$mean
start_time <- proc.time()[3]
result_ac <- AdaptiveConformal::aci(as.vector(y_test),
as.vector(preds),
method = conformal_method,
alpha = 0.95)
elapsed <- proc.time()[3] - start_time
result_ac$lower <- result_ac$intervals[, 1]
result_ac$upper <- result_ac$intervals[, 2]
results[[i]][idx_row + 8 + idx_method, 3] <- mean((y_test >= result_ac$lower)*(y_test <= result_ac$upper))*100
results[[i]][idx_row + 9 + idx_method, 3] <- winkler_score(result_ac,
actual=y_test,
level = 95L)
results[[i]][idx_row + 10 + idx_method, 3] <- result_accuracy$ME
results[[i]][idx_row + 11 + idx_method, 3] <- result_accuracy$RMSE
results[[i]][idx_row + 12 + idx_method, 3] <- result_accuracy$MAE
results[[i]][idx_row + 13 + idx_method, 3] <- result_accuracy$MPE
results[[i]][idx_row + 14 + idx_method, 3] <- result_accuracy$MAPE
results[[i]][idx_row + 15 + idx_method, 3] <- result_accuracy$MASE
}
}
utils::setTxtProgressBar(pb, i)
}
print(proc.time()[3] - start_time)
close(pb)
|======================================================================| 100%elapsed 0.026
In [16]:
%%R
saveRDS(results, "results_M3_coverages_accuracy_20241031.rds")
In [17]:
%%R
results[[900]]
conformal_method metric value 1 splitconformal coverage 100.00000000 2 splitconformal winkler 981.84974777 3 splitconformal ME 559.58561941 4 splitconformal RMSE 593.74425710 5 splitconformal MAE 559.58561941 6 splitconformal MPE 0.09915813 7 splitconformal MAPE 0.09915813 8 splitconformal MASE 11.57573873 9 AgACI coverage 86.66666667 10 AgACI winkler 1770.04184551 11 AgACI ME -115.63456132 12 AgACI RMSE 234.42706737 13 AgACI MAE 206.06445835 14 AgACI MPE -0.02318314 15 AgACI MAPE 0.04146758 16 AgACI MASE 8.86251472 17 SAOCP coverage 0.00000000 18 SAOCP winkler 8126.43890773 19 SAOCP ME -115.63456132 20 SAOCP RMSE 234.42706737 21 SAOCP MAE 206.06445835 22 SAOCP MPE -0.02318314 23 SAOCP MAPE 0.04146758 24 SAOCP MASE 8.86251472 25 SF-OGD coverage 0.00000000 26 SF-OGD winkler 8241.16623572 27 SF-OGD ME -115.63456132 28 SF-OGD RMSE 234.42706737 29 SF-OGD MAE 206.06445835 30 SF-OGD MPE -0.02318314 31 SF-OGD MAPE 0.04146758 32 SF-OGD MASE 8.86251472
In [18]:
%%R
names(results)[2005]
[1] "N2005"
In [ ]:
%%R
utils::install.packages(c("dplyr", "forecast"), repos = "https://cran.r-project.org")
library(dplyr)
library(forecast)
In [ ]:
%%R
# Use foreach to iterate and combine data frames with an identifying column
combined_results <- foreach::foreach(name = names(results), .combine = dplyr::bind_rows) %dopar% {
type <- M3[[name]]$type
period <- M3[[name]]$period
results[[name]] %>%
mutate(series_name = name,
type = type,
period = period)
}
In [21]:
%%R
print(head(combined_results))
print(tail(combined_results))
conformal_method metric value series_name type period
1 splitconformal coverage 100.00000000 N0001 MICRO YEARLY
2 splitconformal winkler 961.37125000 N0001 MICRO YEARLY
3 splitconformal ME -451.78614069 N0001 MICRO YEARLY
4 splitconformal RMSE 503.17233162 N0001 MICRO YEARLY
5 splitconformal MAE 451.78614069 N0001 MICRO YEARLY
6 splitconformal MPE -0.05761112 N0001 MICRO YEARLY
conformal_method metric value series_name type period
96091 SF-OGD ME 292.1919670 N3003 OTHER OTHER
96092 SF-OGD RMSE 331.0231842 N3003 OTHER OTHER
96093 SF-OGD MAE 292.1919670 N3003 OTHER OTHER
96094 SF-OGD MPE 0.0753467 N3003 OTHER OTHER
96095 SF-OGD MAPE 0.0753467 N3003 OTHER OTHER
96096 SF-OGD MASE 5.1971807 N3003 OTHER OTHER
In [22]:
%%R
library(ggplot2)
# Filter the data to only include rows where metric is 'coverage'
df_coverage <- combined_results %>% filter(metric == 'coverage')
# Boxplot
ggplot(df_coverage, aes(x = conformal_method, y = value)) +
geom_boxplot(fill = "lightgray") +
labs(title = "Distribution of Coverage rate for 3003 time series by Conformal Method",
x = "Conformal Method",
y = "Coverage") +
theme_minimal()
In [23]:
%%R
# Winkler score, the lower the better
df_winkler <- combined_results %>% filter(metric == 'winkler')
# Boxplot
ggplot(df_winkler, aes(x = conformal_method, y = log(value))) +
geom_boxplot(fill = "lightgray") +
labs(title = "Distribution of log(Winkler score) for 3003 time series by Conformal Method",
x = "Conformal Method",
y = "Winkler score") +
theme_minimal()
In [24]:
%%R
# Filter the data to only include rows where metric is 'coverage'
df_RMSE <- combined_results %>% filter(metric == 'RMSE')
# Boxplot
ggplot(df_RMSE, aes(x = conformal_method, y = log(value))) +
geom_boxplot(fill = "lightgray") +
labs(title = "Distribution of log(RMSE) for 3003 time series by Conformal Method",
x = "Conformal Method",
y = "RMSE") +
theme_minimal()
The point is really uncertainty in this context, i.e coverage rate and Winkler score. Not RMSE.
In [25]:
%%R
saveRDS(combined_results, "combined_results_M3_coverages_accuracy_20241031.rds")
In [26]:
%%R
# Assuming 'combined_results' is the data frame you loaded from the RDS file
average_coverage <- combined_results %>%
group_by(conformal_method, period) %>%
summarise(average_coverage = mean(value[metric == "coverage"]))
average_coverage
`summarise()` has grouped output by 'conformal_method'. You can override using the `.groups` argument. # A tibble: 16 × 3 # Groups: conformal_method [4] conformal_method period average_coverage <fct> <chr> <dbl> 1 splitconformal MONTHLY 100 2 splitconformal OTHER 100 3 splitconformal QUARTERLY 100 4 splitconformal YEARLY 100 5 AgACI MONTHLY 72.4 6 AgACI OTHER 48.4 7 AgACI QUARTERLY 52.2 8 AgACI YEARLY 31.8 9 SAOCP MONTHLY 0.880 10 SAOCP OTHER 1.26 11 SAOCP QUARTERLY 0.275 12 SAOCP YEARLY 0.109 13 SF-OGD MONTHLY 0 14 SF-OGD OTHER 0.0547 15 SF-OGD QUARTERLY 0 16 SF-OGD YEARLY 0
In [27]:
%%R
# Assuming 'combined_results' is the data frame you loaded from the RDS file
# Winkler score, the lower the better
average_winkler <- combined_results %>%
group_by(conformal_method, period) %>%
summarise(average_winkler = mean(value[metric == "winkler"]))
average_winkler
`summarise()` has grouped output by 'conformal_method'. You can override using the `.groups` argument. # A tibble: 16 × 3 # Groups: conformal_method [4] conformal_method period average_winkler <fct> <chr> <dbl> 1 splitconformal MONTHLY 2748. 2 splitconformal OTHER 1174. 3 splitconformal QUARTERLY 1663. 4 splitconformal YEARLY 1735. 5 AgACI MONTHLY 5369. 6 AgACI OTHER 2238. 7 AgACI QUARTERLY 5848. 8 AgACI YEARLY 14569. 9 SAOCP MONTHLY 25397. 10 SAOCP OTHER 12282. 11 SAOCP QUARTERLY 21957. 12 SAOCP YEARLY 41459. 13 SF-OGD MONTHLY 25570. 14 SF-OGD OTHER 12401. 15 SF-OGD QUARTERLY 22036. 16 SF-OGD YEARLY 41505.
In [28]:
%%R
# Assuming 'combined_results' is the data frame you loaded from the RDS file
average_RMSE <- combined_results %>%
group_by(conformal_method, period) %>%
summarise(average_RMSE = mean(value[metric == "RMSE"]))
average_RMSE
`summarise()` has grouped output by 'conformal_method'. You can override using the `.groups` argument. # A tibble: 16 × 3 # Groups: conformal_method [4] conformal_method period average_RMSE <fct> <chr> <dbl> 1 splitconformal MONTHLY 1194. 2 splitconformal OTHER 668. 3 splitconformal QUARTERLY 1129. 4 splitconformal YEARLY 1662. 5 AgACI MONTHLY 780. 6 AgACI OTHER 360. 7 AgACI QUARTERLY 649. 8 AgACI YEARLY 1183. 9 SAOCP MONTHLY 780. 10 SAOCP OTHER 360. 11 SAOCP QUARTERLY 649. 12 SAOCP YEARLY 1183. 13 SF-OGD MONTHLY 780. 14 SF-OGD OTHER 360. 15 SF-OGD QUARTERLY 649. 16 SF-OGD YEARLY 1183.
Again, the point is really uncertainty in this context, i.e coverage rate and Winkler score. Not RMSE.
In [ ]:
%%R
utils::install.packages("knitr")
utils::install.packages("kableExtra")
In [31]:
%%R
library(knitr)
library(kableExtra)
In [32]:
%%R
# Assuming 'average_coverage' is your data frame
kable(average_coverage, format = "latex", booktabs = TRUE,
caption = "Average Coverage by Method and Period") %>%
kable_styling(latex_options = c("striped", "scale_down"))
\begin{table}
\centering
\caption{Average Coverage by Method and Period}
\centering
\resizebox{\ifdim\width>\linewidth\linewidth\else\width\fi}{!}{
\begin{tabular}[t]{llr}
\toprule
conformal\_method & period & average\_coverage\\
\midrule
\cellcolor{gray!10}{splitconformal} & \cellcolor{gray!10}{MONTHLY} & \cellcolor{gray!10}{100.0000000}\\
splitconformal & OTHER & 100.0000000\\
\cellcolor{gray!10}{splitconformal} & \cellcolor{gray!10}{QUARTERLY} & \cellcolor{gray!10}{100.0000000}\\
splitconformal & YEARLY & 100.0000000\\
\cellcolor{gray!10}{AgACI} & \cellcolor{gray!10}{MONTHLY} & \cellcolor{gray!10}{72.4303909}\\
\addlinespace
AgACI & OTHER & 48.3811720\\
\cellcolor{gray!10}{AgACI} & \cellcolor{gray!10}{QUARTERLY} & \cellcolor{gray!10}{52.1629623}\\
AgACI & YEARLY & 31.8191214\\
\cellcolor{gray!10}{SAOCP} & \cellcolor{gray!10}{MONTHLY} & \cellcolor{gray!10}{0.8799117}\\
SAOCP & OTHER & 1.2609469\\
\addlinespace
\cellcolor{gray!10}{SAOCP} & \cellcolor{gray!10}{QUARTERLY} & \cellcolor{gray!10}{0.2752630}\\
SAOCP & YEARLY & 0.1085271\\
\cellcolor{gray!10}{SF-OGD} & \cellcolor{gray!10}{MONTHLY} & \cellcolor{gray!10}{0.0000000}\\
SF-OGD & OTHER & 0.0547345\\
\cellcolor{gray!10}{SF-OGD} & \cellcolor{gray!10}{QUARTERLY} & \cellcolor{gray!10}{0.0000000}\\
\addlinespace
SF-OGD & YEARLY & 0.0000000\\
\bottomrule
\end{tabular}}
\end{table}
In [33]:
%%R
# Assuming 'average_winkler' is your data frame
kable(average_winkler, format = "latex", booktabs = TRUE,
caption = "Average Winkler Score by Method and Period") %>%
kable_styling(latex_options = c("striped", "scale_down"))
\begin{table}
\centering
\caption{Average Winkler Score by Method and Period}
\centering
\resizebox{\ifdim\width>\linewidth\linewidth\else\width\fi}{!}{
\begin{tabular}[t]{llr}
\toprule
conformal\_method & period & average\_winkler\\
\midrule
\cellcolor{gray!10}{splitconformal} & \cellcolor{gray!10}{MONTHLY} & \cellcolor{gray!10}{2748.174}\\
splitconformal & OTHER & 1174.329\\
\cellcolor{gray!10}{splitconformal} & \cellcolor{gray!10}{QUARTERLY} & \cellcolor{gray!10}{1663.088}\\
splitconformal & YEARLY & 1735.325\\
\cellcolor{gray!10}{AgACI} & \cellcolor{gray!10}{MONTHLY} & \cellcolor{gray!10}{5368.826}\\
\addlinespace
AgACI & OTHER & 2237.696\\
\cellcolor{gray!10}{AgACI} & \cellcolor{gray!10}{QUARTERLY} & \cellcolor{gray!10}{5847.555}\\
AgACI & YEARLY & 14568.552\\
\cellcolor{gray!10}{SAOCP} & \cellcolor{gray!10}{MONTHLY} & \cellcolor{gray!10}{25396.600}\\
SAOCP & OTHER & 12282.197\\
\addlinespace
\cellcolor{gray!10}{SAOCP} & \cellcolor{gray!10}{QUARTERLY} & \cellcolor{gray!10}{21956.867}\\
SAOCP & YEARLY & 41459.081\\
\cellcolor{gray!10}{SF-OGD} & \cellcolor{gray!10}{MONTHLY} & \cellcolor{gray!10}{25569.669}\\
SF-OGD & OTHER & 12401.179\\
\cellcolor{gray!10}{SF-OGD} & \cellcolor{gray!10}{QUARTERLY} & \cellcolor{gray!10}{22035.548}\\
\addlinespace
SF-OGD & YEARLY & 41504.670\\
\bottomrule
\end{tabular}}
\end{table}
In [34]:
%%R
# Assuming 'average_RMSE' is your data frame
kable(average_RMSE, format = "latex", booktabs = TRUE,
caption = "Average RMSE by Method and Period") %>%
kable_styling(latex_options = c("striped", "scale_down"))
\begin{table}
\centering
\caption{Average RMSE by Method and Period}
\centering
\resizebox{\ifdim\width>\linewidth\linewidth\else\width\fi}{!}{
\begin{tabular}[t]{llr}
\toprule
conformal\_method & period & average\_RMSE\\
\midrule
\cellcolor{gray!10}{splitconformal} & \cellcolor{gray!10}{MONTHLY} & \cellcolor{gray!10}{1193.5822}\\
splitconformal & OTHER & 667.5194\\
\cellcolor{gray!10}{splitconformal} & \cellcolor{gray!10}{QUARTERLY} & \cellcolor{gray!10}{1128.5092}\\
splitconformal & YEARLY & 1662.1212\\
\cellcolor{gray!10}{AgACI} & \cellcolor{gray!10}{MONTHLY} & \cellcolor{gray!10}{779.9480}\\
\addlinespace
AgACI & OTHER & 359.7805\\
\cellcolor{gray!10}{AgACI} & \cellcolor{gray!10}{QUARTERLY} & \cellcolor{gray!10}{649.2999}\\
AgACI & YEARLY & 1182.6598\\
\cellcolor{gray!10}{SAOCP} & \cellcolor{gray!10}{MONTHLY} & \cellcolor{gray!10}{779.9480}\\
SAOCP & OTHER & 359.7805\\
\addlinespace
\cellcolor{gray!10}{SAOCP} & \cellcolor{gray!10}{QUARTERLY} & \cellcolor{gray!10}{649.2999}\\
SAOCP & YEARLY & 1182.6598\\
\cellcolor{gray!10}{SF-OGD} & \cellcolor{gray!10}{MONTHLY} & \cellcolor{gray!10}{779.9480}\\
SF-OGD & OTHER & 359.7805\\
\cellcolor{gray!10}{SF-OGD} & \cellcolor{gray!10}{QUARTERLY} & \cellcolor{gray!10}{649.2999}\\
\addlinespace
SF-OGD & YEARLY & 1182.6598\\
\bottomrule
\end{tabular}}
\end{table}
2 - M5 competition (Python code), 42840 time series aggregated by item (3049 items)¶
2 - 1 - Loading packages¶
In [ ]:
!pip install nnetsauce xgboost lightgbm numpy pandas scikit-learn
In [36]:
import nnetsauce as ns
import lightgbm as lgb
import xgboost as xgb
import numpy as np
import pandas as pd
from sklearn.ensemble import GradientBoostingRegressor
2 - 2 - Useful functions¶
In [37]:
def calculate_coverage(lower_pred, upper_pred, y_true):
"""Calculate coverage of the prediction intervals."""
within_bounds = np.logical_and(lower_pred <= y_true, y_true <= upper_pred)
return np.mean(within_bounds)
def calculate_winkler_score(lower_pred, upper_pred, y_true, alpha=0.05):
"""Calculate Winkler score for predictions."""
penalty = 2*np.maximum(lower_pred - y_true, 0)/alpha
penalty += 2*np.maximum(y_true - upper_pred, 0)/alpha
scores = (upper_pred - lower_pred) + penalty
return np.mean(scores)
2 - 3 Loading data ¶
Sales Training Data¶
There are initially 42840 time series in the M5 competition. They're aggregated here by item.
In [38]:
df = pd.read_csv("https://raw.githubusercontent.com/Techtonique/datasets/refs/heads/main/time_series/univariate/m5-forecasting-uncertainty-sales-per-item.csv")
df.head()
Out[38]:
| item_id | d_1 | d_2 | d_3 | d_4 | d_5 | d_6 | d_7 | d_8 | d_9 | ... | d_1904 | d_1905 | d_1906 | d_1907 | d_1908 | d_1909 | d_1910 | d_1911 | d_1912 | d_1913 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0 | FOODS_1_001 | 6 | 6 | 4 | 6 | 7 | 18 | 10 | 4 | 11 | ... | 4 | 4 | 30 | 7 | 5 | 3 | 6 | 2 | 16 | 6 |
| 1 | FOODS_1_002 | 4 | 5 | 7 | 4 | 3 | 4 | 1 | 7 | 2 | ... | 5 | 9 | 4 | 1 | 3 | 5 | 5 | 3 | 3 | 1 |
| 2 | FOODS_1_003 | 14 | 8 | 3 | 6 | 3 | 8 | 13 | 10 | 11 | ... | 7 | 3 | 5 | 6 | 3 | 4 | 4 | 3 | 11 | 5 |
| 3 | FOODS_1_004 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ... | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| 4 | FOODS_1_005 | 34 | 32 | 13 | 20 | 10 | 21 | 18 | 20 | 25 | ... | 16 | 14 | 14 | 18 | 18 | 27 | 12 | 15 | 38 | 9 |
5 rows × 1914 columns
In [39]:
print(df.describe())
d_1 d_2 d_3 d_4 d_5 d_6 d_7 d_8 d_9 \
count 3049.00 3049.00 3049.00 3049.00 3049.00 3049.00 3049.00 3049.00 3049.00
mean 10.70 10.41 7.80 8.33 6.28 9.58 9.19 12.44 10.74
std 40.83 42.11 27.32 33.27 23.33 35.77 37.81 51.89 44.53
min 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
25% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
50% 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
75% 9.00 9.00 6.00 7.00 5.00 8.00 7.00 10.00 9.00
max 1345.00 1534.00 757.00 1196.00 749.00 1064.00 1187.00 1745.00 1367.00
d_10 ... d_1904 d_1905 d_1906 d_1907 d_1908 d_1909 d_1910 \
count 3049.00 ... 3049.00 3049.00 3049.00 3049.00 3049.00 3049.00 3049.00
mean 8.39 ... 13.71 15.86 16.94 12.48 12.32 11.59 11.49
std 28.00 ... 27.06 31.44 32.45 23.56 22.79 20.87 21.28
min 0.00 ... 0.00 0.00 0.00 0.00 0.00 0.00 0.00
25% 0.00 ... 3.00 3.00 4.00 2.00 2.00 2.00 2.00
50% 0.00 ... 7.00 8.00 8.00 6.00 6.00 6.00 6.00
75% 7.00 ... 14.00 17.00 17.00 14.00 13.00 12.00 12.00
max 783.00 ... 672.00 832.00 789.00 486.00 434.00 425.00 422.00
d_1911 d_1912 d_1913
count 3049.00 3049.00 3049.00
mean 13.29 16.06 16.33
std 25.15 31.22 28.47
min 0.00 0.00 0.00
25% 3.00 3.00 4.00
50% 7.00 8.00 8.00
75% 14.00 17.00 18.00
max 629.00 793.00 592.00
[8 rows x 1913 columns]
In [40]:
print(df.info())
<class 'pandas.core.frame.DataFrame'> RangeIndex: 3049 entries, 0 to 3048 Columns: 1914 entries, item_id to d_1913 dtypes: int64(1913), object(1) memory usage: 44.5+ MB None
2 - 4 Forecasting¶
In [41]:
from time import time
2 - 4 - 1 Functions¶
In [42]:
def forecast(df, idx=0, model="xgb", pi_method= "quantile",
pct_train=0.9, **kwargs):
assert pct_train > 0.6, "must have pct_train > 0.6"
x = df.iloc[idx, 1:].diff().dropna().values.astype(np.float64)
n_points = len(x)
x_train = x[:int(n_points*pct_train)].ravel()
x_test = x[int(n_points*pct_train):].ravel()
lags = 1 # number of lags to consider
h = len(x_test)
if pi_method == "conformal":
if model == "xgb":
regr = ns.MTS(obj=xgb.XGBRegressor(
tree_method="hist", **kwargs),
n_hidden_features=0,
type_pi="scp2-kde", # split conformal prediction with KDE simulation
replications=250, # number of simulations
lags=lags,
show_progress=False,
verbose=0)
elif model == "gb":
regr = ns.MTS(obj=GradientBoostingRegressor(**kwargs),
n_hidden_features=0,
type_pi="scp2-kde", # split conformal prediction with KDE simulation
replications=250, # number of simulations
lags=lags,
show_progress=False,
verbose=0)
elif model == "lgb":
regr = ns.MTS(obj=lgb.LGBMRegressor(verbosity=-1, **kwargs),
n_hidden_features=0,
type_pi="scp2-kde", # split conformal prediction with KDE simulation
replications=250, # number of simulations
lags=lags,
show_progress=False,
verbose=0)
else:
raise NotImplementedError
start = time()
res = regr.fit(x_train).predict(h = h)
time_taken = time() - start
lower_pred = res.lower.values.ravel()
upper_pred = res.upper.values.ravel()
y_true = x_test
elif pi_method == "quantile":
if model == "xgb":
bounds =[]
for i, alpha in enumerate([0.025, 0.975]):
regr = ns.MTS(obj=xgb.XGBRegressor(objective="reg:quantileerror",
tree_method="hist",
quantile_alpha=alpha, **kwargs),
n_hidden_features=0,
lags=lags,
show_progress=False,
verbose=0)
start = time()
regr.fit(x_train)
time_taken = time() - start
bounds.append(regr.predict(h = h))
elif model == "gb":
bounds =[]
for i, alpha in enumerate([0.025, 0.975]):
regr = ns.MTS(obj=GradientBoostingRegressor(loss="quantile",
alpha=alpha, **kwargs),
n_hidden_features=0,
lags=lags,
show_progress=False,
verbose=0)
start = time()
regr.fit(x_train)
bounds.append(regr.predict(h = h))
time_taken = time() - start
elif model == "lgb":
bounds =[]
for i, alpha in enumerate([0.025, 0.975]):
regr = ns.MTS(obj=lgb.LGBMRegressor(objective = 'quantile',
alpha = alpha,
verbosity=-1, **kwargs),
n_hidden_features=0,
lags=lags,
show_progress=False,
verbose=0)
start = time()
regr.fit(x_train)
bounds.append(regr.predict(h = h))
time_taken = time() - start
else:
raise NotImplementedError
lower_pred = bounds[0].values.ravel()
upper_pred = bounds[1].values.ravel()
y_true = x_test
return calculate_coverage(lower_pred, upper_pred, y_true), calculate_winkler_score(lower_pred, upper_pred, y_true), time_taken
2 - 4 - 2 loop¶
In [43]:
res = []
In [44]:
from tqdm import tqdm
Parallel
In [45]:
from time import time
model_pi_methods = [(model, pi_method) for model in ["xgb", "gb", "lgb"] for pi_method in ["quantile", "conformal"]]
for model, pi_method in model_pi_methods:
print(model, pi_method)
xgb quantile xgb conformal gb quantile gb conformal lgb quantile lgb conformal
In [ ]:
from joblib import Parallel, delayed
from tqdm import tqdm
from time import time
def process_forecast(store_idx):
result = []
for model, pi_method in model_pi_methods:
try:
ans = forecast(df, idx=store_idx, model=model, pi_method=pi_method)
result.append([model, pi_method, ans[0], ans[1], ans[2]])
except Exception as e:
continue
return result
start = time()
res = Parallel(n_jobs=-1)(delayed(process_forecast)(store_idx) for store_idx in tqdm(range(df.shape[0])))
end = time()
print(end - start)
res = [item for sublist in res for item in sublist]
In [47]:
res_array = np.array(res)
In [48]:
res_df = pd.DataFrame(res_array, columns=["model", "pi_method",
"coverage", "winkler",
"time"], index=None)
In [49]:
res_df
Out[49]:
| model | pi_method | coverage | winkler | time | |
|---|---|---|---|---|---|
| 0 | xgb | quantile | 0.7916666666666666 | 51.1210212608518 | 0.4013369083404541 |
| 1 | xgb | conformal | 0.9270833333333334 | 39.81039934883048 | 28.924641132354736 |
| 2 | gb | quantile | 0.75 | 57.3768650098391 | 3.0318901538848877 |
| 3 | gb | conformal | 0.9166666666666666 | 40.109831397718715 | 19.903746843338013 |
| 4 | lgb | quantile | 0.7864583333333334 | 51.34335123406788 | 3.0518510341644287 |
| ... | ... | ... | ... | ... | ... |
| 17816 | xgb | conformal | 0.921875 | 7.745386069078937 | 10.091049909591675 |
| 17817 | gb | quantile | 0.7552083333333334 | 16.191994712662865 | 0.7770967483520508 |
| 17818 | gb | conformal | 0.921875 | 7.7454295687221775 | 6.986394166946411 |
| 17819 | lgb | quantile | 0.4947916666666667 | 35.219043821425906 | 0.3016550540924072 |
| 17820 | lgb | conformal | 0.9010416666666666 | 8.79169911751688 | 5.0931642055511475 |
17821 rows × 5 columns
In [50]:
res_df.to_csv("2024_10_22_m5_sales_uncertainty_prediction_results_local.csv")
2 - 4 - 3 Formatting¶
2 - 4 - 4 basic info¶
In [51]:
import pandas as pd
import numpy as np
In [52]:
results_local = pd.read_csv("2024_10_22_m5_sales_uncertainty_prediction_results_local.csv")
In [53]:
results_local['coverage'] = results_local['coverage'].astype(np.float64)
results_local['winkler'] = results_local['winkler'].astype(np.float64)
results_local['time'] = results_local['time'].astype(np.float64)
In [54]:
display(results_local.describe())
| Unnamed: 0 | coverage | winkler | time | |
|---|---|---|---|---|
| count | 17821.00 | 17821.00 | 17821.00 | 17821.00 |
| mean | 8910.00 | 0.76 | 63.09 | 8.79 |
| std | 5144.62 | 0.25 | 98.74 | 10.32 |
| min | 0.00 | 0.00 | 2.08 | 0.12 |
| 25% | 4455.00 | 0.70 | 21.62 | 1.12 |
| 50% | 8910.00 | 0.83 | 37.22 | 4.57 |
| 75% | 13365.00 | 0.92 | 70.44 | 13.57 |
| max | 17820.00 | 1.00 | 7270.32 | 152.02 |
2 - 4 - 5 Tables and graphics¶
In [55]:
df = pd.read_csv("2024_10_22_m5_sales_uncertainty_prediction_results_local.csv")
In [56]:
df['log_error_rate'] = np.log(1 - df['coverage'])
df['log_winkler'] = np.log(df['winkler'])
df['log_time'] = np.log(df['time'])
In [57]:
df_grouped = df.groupby(['model', 'pi_method'])[['coverage', 'winkler', 'time']].agg(['min', 'median', 'max'])
df_grouped.transpose()
Out[57]:
| model | gb | lgb | xgb | ||||
|---|---|---|---|---|---|---|---|
| pi_method | conformal | quantile | conformal | quantile | conformal | quantile | |
| coverage | min | 0.00 | 0.03 | 0.00 | 0.05 | 0.00 | 0.29 |
| median | 0.89 | 0.81 | 0.89 | 0.75 | 0.90 | 0.79 | |
| max | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | 1.00 | |
| winkler | min | 2.08 | 2.08 | 5.77 | 5.00 | 5.54 | 4.78 |
| median | 35.66 | 34.44 | 36.00 | 42.34 | 35.43 | 38.08 | |
| max | 1781.88 | 7270.32 | 1272.90 | 1304.69 | 1781.88 | 1553.96 | |
| time | min | 2.45 | 0.78 | 2.46 | 0.30 | 2.30 | 0.12 |
| median | 12.66 | 1.23 | 15.13 | 3.10 | 12.59 | 0.22 | |
| max | 152.02 | 13.71 | 149.08 | 130.01 | 63.82 | 7.96 | |
In [58]:
latex_table = df_grouped.transpose().applymap(lambda x: f"{x:.2f}" if isinstance(x, float) else x).to_latex()
print(latex_table)
\begin{tabular}{llllllll}
\toprule
& model & \multicolumn{2}{r}{gb} & \multicolumn{2}{r}{lgb} & \multicolumn{2}{r}{xgb} \\
& pi_method & conformal & quantile & conformal & quantile & conformal & quantile \\
\midrule
\multirow[t]{3}{*}{coverage} & min & 0.00 & 0.03 & 0.00 & 0.05 & 0.00 & 0.29 \\
& median & 0.89 & 0.81 & 0.89 & 0.75 & 0.90 & 0.79 \\
& max & 1.00 & 1.00 & 1.00 & 1.00 & 1.00 & 1.00 \\
\cline{1-8}
\multirow[t]{3}{*}{winkler} & min & 2.08 & 2.08 & 5.77 & 5.00 & 5.54 & 4.78 \\
& median & 35.66 & 34.44 & 36.00 & 42.34 & 35.43 & 38.08 \\
& max & 1781.88 & 7270.32 & 1272.90 & 1304.69 & 1781.88 & 1553.96 \\
\cline{1-8}
\multirow[t]{3}{*}{time} & min & 2.45 & 0.78 & 2.46 & 0.30 & 2.30 & 0.12 \\
& median & 12.66 & 1.23 & 15.13 & 3.10 & 12.59 & 0.22 \\
& max & 152.02 & 13.71 & 149.08 & 130.01 & 63.82 & 7.96 \\
\cline{1-8}
\bottomrule
\end{tabular}
In [ ]:
!pip install matplotlib seaborn
In [61]:
import matplotlib.pyplot as plt
import seaborn as sns
# Coverage plot
plt.figure(figsize=(8, 4))
sns.boxplot(x='model', y='log_error_rate', hue='pi_method', data=df)
plt.title('Log error rate per Model and PI Method')
plt.xlabel('Model')
plt.ylabel('Log error rate')
plt.xticks(rotation=45, ha='right')
plt.legend(title='PI Method')
plt.tight_layout()
plt.show()
In [62]:
# Winkler plot
plt.figure(figsize=(8, 4))
sns.boxplot(x='model', y='log_winkler', hue='pi_method', data=df)
plt.title('Log Winkler Score per Model and PI Method')
plt.xlabel('Model')
plt.ylabel('Log Winkler Score')
plt.xticks(rotation=45, ha='right')
plt.legend(title='PI Method')
plt.tight_layout()
plt.show()
In [63]:
# Time plot
plt.figure(figsize=(8, 4))
sns.boxplot(x='model', y='log_time', hue='pi_method', data=df)
plt.title('Time per Model and PI Method')
plt.xlabel('Model')
plt.ylabel('Log Time in Log(seconds)')
plt.xticks(rotation=45, ha='right')
plt.legend(title='PI Method')
plt.tight_layout()
plt.show()
Conformalizing requires splitting the data and fitting twice, so is logically slower.
3 - 250 various time series (210 real-world, 40 synthetic)¶
250 time series, 240 real-world, 10 synthetic. See https://github.com/Techtonique/datasets/blob/main/time_series/univariate/250datasets/250timeseries.txt for the list of time series, and https://github.com/Techtonique/datasets/blob/main/time_series/univariate/250datasets/250datasets_characteristics.R for their characteristics.
In [ ]:
!pip install rpy2
In [2]:
%load_ext rpy2.ipython
In [ ]:
%%R
utils::install.packages(c('forecast', 'fpp', 'fpp2', 'remotes'))
remotes::install_github("Techtonique/ahead")
remotes::install_github("thierrymoudiki/simulatetimeseries")
## ----"6-twofiftydatasets", echo=FALSE, cache=TRUE, message=FALSE, warning=FALSE-------------------------------------
utils::install.packages(c("astsa",
"datasets",
"expsmooth",
"fma",
"forecast",
"fpp",
"fpp2",
"MASS",
"remotes",
"reshape2",
"tswge"), repos="https://cran.r-project.org", quiet=TRUE)
remotes::install_github("thierrymoudiki/simulatetimeseries")
remotes::install_github("herbps10/AdaptiveConformal")
remotes::install_github("Techtonique/ahead")
install.packages("foreach", repos="https://cran.r-project.org")
install.packages("forecast", repos="https://cran.r-project.org")
suppressWarnings(library(datasets))
suppressWarnings(library(forecast))
suppressWarnings(library(fpp2))
suppressWarnings(library(ahead))
suppressWarnings(library(simulatetimeseries))
## ----"1-foursynthplot", echo=FALSE, cache=TRUE, message=FALSE, warning=FALSE, fig.cap="4 synthetic data sets (among 47)"----
suppressWarnings(library(datasets))
suppressWarnings(library(forecast))
suppressWarnings(library(fpp2))
suppressWarnings(library(ahead))
suppressWarnings(library(simulatetimeseries))
In [ ]:
%%R
# /!\ Despite package name, these are mostly real-world time series (210), differenced once
# (see https://github.com/Techtonique/datasets/blob/main/time_series/univariate/250datasets/250timeseries.txt)
all_datasets <- simulatetimeseries::get_data_1() # easier is to download https://github.com/Techtonique/datasets/blob/main/time_series/univariate/250datasets/all_datasets.rds
row_names <- names(all_datasets)
visualizing a few examples among the 250 time series
In [7]:
%%R
print(length(all_datasets))
par(mfrow=c(2, 2))
plot(all_datasets[[1]])
plot(all_datasets[[10]])
plot(all_datasets[[5]])
plot(all_datasets[[50]])
[1] 250
In [8]:
%%R
par(mfrow=c(2, 2))
plot(all_datasets[[2]])
plot(all_datasets[[11]])
plot(all_datasets[[9]])
plot(all_datasets[[51]])
In [9]:
%%R
# EXAMPLE ON A DATA SET CONTAINING 250 TIME SERIES ------------------------------------------------------------
col_names <- c("thetaf_0", "dynrmf_0",
"thetaf_kde", "dynrmf_kde",
"thetaf_boot", "dynrmf_boot",
"thetaf_surr", "dynrmf_surr")
n_datasets <- length(all_datasets)
n_methods <- length(col_names)
results_winkler_score <- results_coverage_rate <- matrix(0, nrow=n_datasets, ncol=n_methods)
rownames(results_winkler_score) <- row_names
colnames(results_winkler_score) <- col_names
rownames(results_coverage_rate) <- row_names
colnames(results_coverage_rate) <- col_names
results_winkler_score <- as.data.frame(results_winkler_score)
results_coverage_rate <- as.data.frame(results_coverage_rate)
params <- vector("list", n_methods)
names(params) <- col_names
level <- 95
pct_train <- 0.9
pct_calibration <- 0.5
types_sim <- c("kde", "boot", "surr")
library("foreach")
pb <- txtProgressBar(min = 0,
max = n_datasets,
style = 3)
progress <- function(n)
utils::setTxtProgressBar(pb, n)
opts <- list(progress = progress)
| | 0%
In [10]:
%%R
idx_dataset <- NULL
pb <- utils::txtProgressBar(min = 0, max = n_datasets, style = 3)
for(idx_dataset in 1:n_datasets) {
selected_data <- all_datasets[[idx_dataset]]
# no conformalization
fit_obj <- try(ahead::fitforecast(selected_data, conformalize = 0, pct_train = pct_train,
pct_calibration=pct_calibration,
method = "dynrmf"), silent = TRUE)
if (!inherits(fit_obj, "try-error"))
{
results_winkler_score[, "dynrmf_0"][idx_dataset] <- fit_obj$winkler_score
results_coverage_rate[, "dynrmf_0"][idx_dataset] <- fit_obj$coverage
} else {
results_winkler_score[, "dynrmf_0"][idx_dataset] <- NA
results_coverage_rate[, "dynrmf_0"][idx_dataset] <- NA
}
fit_obj <- try(ahead::fitforecast(selected_data, conformalize = 0, pct_train = pct_train,
pct_calibration=pct_calibration,
method = "thetaf"), silent = TRUE)
if (!inherits(fit_obj, "try-error"))
{
results_winkler_score[, "thetaf_0"][idx_dataset] <- fit_obj$winkler_score
results_coverage_rate[, "thetaf_0"][idx_dataset] <- fit_obj$coverage
} else {
results_winkler_score[, "thetaf_0"][idx_dataset] <- NA
results_coverage_rate[, "thetaf_0"][idx_dataset] <- NA
}
# conformalization
for (type_sim in types_sim){
fit_obj <- try(ahead::fitforecast(selected_data, conformalize = 1,
pct_train = pct_train,
pct_calibration=pct_calibration,
method = "dynrmf", type_sim = type_sim), silent = TRUE)
if (!inherits(fit_obj, "try-error"))
{
results_winkler_score[, paste0('dynrmf', '_', type_sim)][idx_dataset] <- fit_obj$winkler_score
results_coverage_rate[, paste0('dynrmf', '_', type_sim)][idx_dataset] <- fit_obj$coverage #abs(fit_obj$coverage/level - 1)*100
} else {
results_winkler_score[, paste0('dynrmf', '_', type_sim)][idx_dataset] <- NA
results_coverage_rate[, paste0('dynrmf', '_', type_sim)][idx_dataset] <- NA
}
fit_obj <- try(ahead::fitforecast(selected_data, conformalize = 1,
pct_train = pct_train,
pct_calibration=pct_calibration,
method = "thetaf", type_sim = type_sim), silent = TRUE)
if (!inherits(fit_obj, "try-error"))
{
results_winkler_score[, paste0('thetaf', '_', type_sim)][idx_dataset] <- fit_obj$winkler_score
results_coverage_rate[, paste0('thetaf', '_', type_sim)][idx_dataset] <- fit_obj$coverage #abs(fit_obj$coverage/level - 1)*100
} else {
results_winkler_score[, paste0('thetaf', '_', type_sim)][idx_dataset] <- NA
results_coverage_rate[, paste0('thetaf', '_', type_sim)][idx_dataset] <- NA
}
}
utils::setTxtProgressBar(pb, idx_dataset)
}
close(pb)
saveRDS(object = results_winkler_score, file = "results_winkler_score.rds")
saveRDS(object = results_coverage_rate, file = "results_coverage_rate.rds")
|======================================================================| 100%
De plus : Il y a eu 50 avis ou plus (utilisez warnings() pour voir les 50 premiers)
In [29]:
%%R
# Expected coverage rate: 95%
# methods ending with "_0" are not conformalized
# all the other methods are conformalized
coverage_ci <- t(apply(results_coverage_rate, 2, function(x) c(mean(x, na.rm = TRUE),
quantile(x, c(0.025, 0.975), na.rm = TRUE))))
colnames(coverage_ci) <- c("mean", "lower", "upper")
coverage_ci <- as.data.frame(coverage_ci)
coverage_ci$method <- rownames(coverage_ci)
coverage_ci
mean lower upper method thetaf_0 88.83283 31.57895 100 thetaf_0 dynrmf_0 87.69836 34.27419 100 dynrmf_0 thetaf_kde 88.22848 28.38095 100 thetaf_kde dynrmf_kde 93.77326 63.22967 100 dynrmf_kde thetaf_boot 82.48538 15.77303 100 thetaf_boot dynrmf_boot 89.86451 33.33333 100 dynrmf_boot thetaf_surr 84.88912 26.66667 100 thetaf_surr dynrmf_surr 91.56125 56.22222 100 dynrmf_surr
In [30]:
%%R
# Winkler score, the lower the better
# methods ending with "_0" are not conformalized
# all the other methods are conformalized
winkler_ci <- t(apply(results_winkler_score, 2, function(x) c(mean(x, na.rm = TRUE),
quantile(x, c(0.025, 0.975), na.rm = TRUE))))
colnames(winkler_ci) <- c("mean", "lower", "upper")
winkler_ci <- as.data.frame(winkler_ci)
winkler_ci$method <- rownames(winkler_ci)
winkler_ci
mean lower upper method thetaf_0 49775.61 0.3749945 150265.61 thetaf_0 dynrmf_0 21427.87 0.3624831 70254.36 dynrmf_0 thetaf_kde 45347.61 0.3803968 144066.16 thetaf_kde dynrmf_kde 20929.91 0.3775642 62999.15 dynrmf_kde thetaf_boot 48121.65 0.3480542 144554.24 thetaf_boot dynrmf_boot 22728.10 0.3433424 61013.21 dynrmf_boot thetaf_surr 48790.68 0.3499667 144421.17 thetaf_surr dynrmf_surr 22467.88 0.3436461 61741.29 dynrmf_surr
4 - Synthetic data (25 time series)¶
In [ ]:
%%R
# EXAMPLE ON A SYNTHETIC DATA SET ------------------------------------------------------------
## ----echo=FALSE, cache=FALSE, message=FALSE, warning=FALSE----------------------------------------------------------
winkler_score <- function(obj, actual, level = 95) {
alpha <- 1 - level / 100
lt <- obj$lower
ut <- obj$upper
n_points <- length(actual)
stopifnot((n_points == length(lt)) && (n_points == length(ut)))
diff_lt <- lt - actual
diff_bounds <- ut - lt
diff_ut <- actual - ut
score <-
diff_bounds + (2 / alpha) * (pmax(diff_lt, 0) + pmax(diff_ut, 0))
return(mean(score))
}
## ----"7-aci-agci", echo=FALSE, cache=TRUE, message=FALSE, warning=FALSE---------------------------------------------
library("AdaptiveConformal")
library("ahead")
library("simulatetimeseries")
library("foreach")
library("forecast")
B <- 100
params_psi <- params_theta <- c(0.1, 0.8, 0.9, 0.95, 0.99)
levels <- c(80, 95)
fcast_methods <- c("thetaf", "dynrmf")
conformal_methods <- c("splitconformal", "AgACI", "SAOCP", "SF-OGD")
(params_grid <- expand.grid(params_psi, params_theta,
levels, fcast_methods,
conformal_methods))
colnames(params_grid) <- c("psi", "theta",
"level",
"fcast_method",
"conformal_method")
params_grid$fcast_method <- as.vector(params_grid$fcast_method)
params_grid$conformal_method <- as.vector(params_grid$conformal_method)
results <- matrix(0, ncol=B, nrow=nrow(params_grid))
colnames(results) <- paste0("B", seq_len(B))
params_grid <- params_grid2 <- cbind.data.frame(params_grid, results)
nb_iter <- nrow(params_grid)
pb <- txtProgressBar(min = 0,
max = nb_iter,
style = 3)
for (i in 1:nrow(params_grid))
{
for (j in 6:ncol(params_grid))
{
seed_i_j <- 100*i+300*j
y <- simulatetimeseries::simulate_time_series_4(n = 600,
params_grid$psi[i],
params_grid$theta[i],
seed=seed_i_j)
splitted_ts <- simulatetimeseries::splitts(y = y, split_prob = 0.9)
y_train <- splitted_ts$training
y_test <- splitted_ts$testing
if (as.character(params_grid$conformal_method[i]) == "splitconformal")
{
obj <- ahead::fitforecast(y,
conformalize = TRUE,
pct_train = 0.9,
pct_calibration = 0.5,
method = as.character(params_grid$fcast_method[i]),
type_calibration = "splitconformal",
level = params_grid$level[i],
type_sim = "kde",
graph = FALSE
)
params_grid[i, j] <- obj$coverage
params_grid2[i, j] <- obj$winkler_score
}
if (as.character(params_grid$conformal_method[i]) %in% c("AgACI", "SAOCP", "SF-OGD"))
{
obj <- switch(as.character(params_grid$fcast_method[i]),
thetaf = forecast::thetaf(y_train, h=length(y_test)),
dynrmf = ahead::dynrmf(y_train, h=length(y_test)))
preds <- obj$mean
result <- AdaptiveConformal::aci(as.vector(y_test),
as.vector(preds),
method = as.character(params_grid$conformal_method[i]),
alpha = params_grid$level[i]/100)
result$lower <- result$intervals[, 1]
result$upper <- result$intervals[, 2]
params_grid[i, j] <- result$metrics$coverage*100
params_grid2[i, j] <- winkler_score(result, actual=y_test, level = params_grid$level[i])
}
}
utils::setTxtProgressBar(pb, i)
}
close(pb)
saveRDS(params_grid, "params_grid_coverages.rds")
saveRDS(params_grid2, "params_grid_winkler.rds")
4 - 1 Coverage rates for synthetic data¶
In [ ]:
%%R
# CONFIDENCE INTERVALS FOR THE SYNTHETIC DATA SET
## ----"11-ag-agci-confint-coverage", echo=FALSE, cache=TRUE, warning=FALSE, message=FALSE----------------------------
utils::install.packages("dplyr", repos = "https://cran.r-project.org")
library("dplyr")
df <- reshape2::melt(params_grid,
id.vars=c("level",
"fcast_method",
"conformal_method"),
measure.vars=paste0("B", seq_len(B)))
df$variable <- NULL
In [ ]:
%%R
utils::install.packages("patchwork")
library(patchwork)
In [100]:
%%R
# Create interaction label for x-axis
df$method_combo <- paste(df$fcast_method, df$conformal_method, sep="\n")
# Summary tables for each level
table_80 <- df %>%
filter(level == 80) %>%
group_by(fcast_method, conformal_method) %>%
summarise(
mean = mean(value),
sd = sd(value),
median = median(value),
q25 = quantile(value, 0.25),
q75 = quantile(value, 0.75)
) %>%
arrange(desc(mean))
table_95 <- df %>%
filter(level == 95) %>%
group_by(fcast_method, conformal_method) %>%
summarise(
mean = mean(value),
sd = sd(value),
median = median(value),
q25 = quantile(value, 0.25),
q75 = quantile(value, 0.75)
) %>%
arrange(desc(mean))
# Plot for level 80
p1 <- ggplot(df[df$level == 80,], aes(x=method_combo, y=value)) +
geom_boxplot(fill="lightgray") +
labs(title="Distribution of Coverage Rates by Method (Level = 80)",
x="Forecasting Method + Conformal Method",
y="Value") +
theme_minimal() +
theme(axis.text.x = element_text(angle = 45, hjust = 1))
# Plot for level 95
p2 <- ggplot(df[df$level == 95,], aes(x=method_combo, y=value)) +
geom_boxplot(fill="lightgray") +
labs(title="Distribution of Coverage Rates by Method (Level = 95)",
x="Forecasting Method + Conformal Method",
y="Value") +
theme_minimal() +
theme(axis.text.x = element_text(angle = 45, hjust = 1))
# Display plots one after another using patchwork
library(patchwork)
print(p1 / p2)
`summarise()` has grouped output by 'fcast_method'. You can override using the `.groups` argument. `summarise()` has grouped output by 'fcast_method'. You can override using the `.groups` argument.
In [105]:
%%R
# Print formatted tables
cat("Coverage Rate Summary Statistics for Level 80:\n")
print(kable(table_80, digits = 2))
Coverage Rate Summary Statistics for Level 80: |fcast_method |conformal_method | mean| sd| median| q25| q75| |:------------|:----------------|-----:|----:|------:|-----:|-----:| |dynrmf |splitconformal | 81.40| 7.37| 83.33| 76.67| 86.67| |thetaf |splitconformal | 79.85| 8.50| 81.67| 75.00| 85.00| |dynrmf |AgACI | 77.61| 4.06| 78.33| 75.00| 80.00| |thetaf |AgACI | 77.41| 4.08| 78.33| 75.00| 80.00| |dynrmf |SAOCP | 52.77| 3.76| 53.33| 50.00| 55.00| |thetaf |SAOCP | 51.81| 4.73| 51.67| 50.00| 55.00| |dynrmf |SF-OGD | 1.20| 1.39| 1.67| 0.00| 1.67| |thetaf |SF-OGD | 1.16| 1.38| 0.00| 0.00| 1.67|
In [106]:
%%R
cat("\nCoverage Rate Summary Statistics for Level 95:\n")
print(kable(table_95, digits = 2))
Coverage Rate Summary Statistics for Level 95: |fcast_method |conformal_method | mean| sd| median| q25| q75| |:------------|:----------------|-----:|----:|------:|-----:|-----:| |dynrmf |splitconformal | 95.57| 4.12| 96.67| 93.33| 98.33| |thetaf |splitconformal | 94.38| 4.96| 95.00| 91.67| 98.33| |dynrmf |AgACI | 89.98| 3.02| 90.00| 88.33| 91.67| |thetaf |AgACI | 89.74| 3.12| 90.00| 88.33| 91.67| |dynrmf |SAOCP | 59.56| 3.85| 60.00| 56.67| 61.67| |thetaf |SAOCP | 58.41| 4.91| 58.33| 56.67| 61.67| |dynrmf |SF-OGD | 1.19| 1.39| 1.67| 0.00| 1.67| |thetaf |SF-OGD | 1.17| 1.37| 1.67| 0.00| 1.67|
4 - 2 Winkler scores for synthetic data¶
The lower the better.
In [107]:
%%R
## ----"12-ag-agci-confint-winkler", echo=FALSE, cache=TRUE, warning=FALSE, message=FALSE-----------------------------
df <- reshape2::melt(params_grid2,
id.vars=c("level",
"fcast_method",
"conformal_method"),
measure.vars=paste0("B", seq_len(B)))
df$variable <- NULL
In [108]:
%%R
# Create interaction label for x-axis
df$method_combo <- paste(df$fcast_method, df$conformal_method, sep="\n")
# Summary tables for each level
table_80 <- df %>%
filter(level == 80) %>%
group_by(fcast_method, conformal_method) %>%
summarise(
mean = mean(value),
sd = sd(value),
median = median(value),
q25 = quantile(value, 0.25),
q75 = quantile(value, 0.75)
) %>%
arrange(desc(mean))
table_95 <- df %>%
filter(level == 95) %>%
group_by(fcast_method, conformal_method) %>%
summarise(
mean = mean(value),
sd = sd(value),
median = median(value),
q25 = quantile(value, 0.25),
q75 = quantile(value, 0.75)
) %>%
arrange(desc(mean))
# Plot for level 80
p1 <- ggplot(df[df$level == 80,], aes(x=method_combo, y=value)) +
geom_boxplot(fill="lightgray") +
labs(title="Distribution of Winkler Scores by Method (Level = 80)",
x="Forecasting Method + Conformal Method",
y="Value") +
theme_minimal() +
theme(axis.text.x = element_text(angle = 45, hjust = 1))
# Plot for level 95
p2 <- ggplot(df[df$level == 95,], aes(x=method_combo, y=value)) +
geom_boxplot(fill="lightgray") +
labs(title="Distribution of Winkler Scores by Method (Level = 95)",
x="Forecasting Method + Conformal Method",
y="Value") +
theme_minimal() +
theme(axis.text.x = element_text(angle = 45, hjust = 1))
# Display plots one after another using patchwork
library(patchwork)
print(p1 / p2)
`summarise()` has grouped output by 'fcast_method'. You can override using the `.groups` argument. `summarise()` has grouped output by 'fcast_method'. You can override using the `.groups` argument.
In [109]:
%%R
# Print formatted tables
cat("Winkler Score Summary Statistics for Level 80:\n")
print(kable(table_80, digits = 2))
Winkler Score Summary Statistics for Level 80: |fcast_method |conformal_method | mean| sd| median| q25| q75| |:------------|:----------------|-----:|----:|------:|-----:|-----:| |thetaf |SF-OGD | 47.91| 8.74| 46.39| 42.21| 51.26| |dynrmf |SF-OGD | 46.16| 6.03| 45.57| 42.16| 49.59| |thetaf |SAOCP | 26.23| 5.01| 25.33| 22.90| 28.45| |dynrmf |SAOCP | 24.95| 3.59| 24.61| 22.47| 26.83| |thetaf |AgACI | 21.85| 3.10| 21.53| 19.58| 23.52| |thetaf |splitconformal | 21.16| 3.79| 20.41| 18.82| 22.50| |dynrmf |AgACI | 21.07| 2.49| 20.87| 19.37| 22.55| |dynrmf |splitconformal | 20.28| 2.85| 19.78| 18.53| 21.44|
In [110]:
%%R
# Print formatted tables
# Winkler score, the lower the better
cat("Winkler Score Summary Statistics for Level 95:\n")
print(kable(table_95, digits = 2))
Winkler Score Summary Statistics for Level 95: |fcast_method |conformal_method | mean| sd| median| q25| q75| |:------------|:----------------|------:|-----:|------:|------:|------:| |thetaf |SF-OGD | 191.33| 33.69| 185.45| 169.11| 205.35| |dynrmf |SF-OGD | 183.80| 23.78| 181.53| 168.26| 197.23| |thetaf |SAOCP | 67.82| 16.35| 65.02| 56.87| 74.78| |dynrmf |SAOCP | 63.90| 11.80| 62.66| 55.78| 70.58| |thetaf |AgACI | 32.80| 4.95| 32.20| 29.26| 35.67| |dynrmf |AgACI | 31.82| 4.15| 31.53| 28.83| 34.36| |thetaf |splitconformal | 28.01| 6.01| 26.39| 24.51| 29.46| |dynrmf |splitconformal | 26.56| 4.68| 25.63| 24.05| 27.89|
5 - Session info¶
5 - 1 Python¶
In [70]:
import platform
# Get basic machine information
python_version = platform.python_version()
print("Python Version:", python_version)
Python Version: 3.11.10
In [71]:
import psutil
# CPU Information
cpu_count = psutil.cpu_count(logical=True)
cpu_freq = psutil.cpu_freq()
cpu_usage = psutil.cpu_percent(interval=1)
# Memory Information
virtual_memory = psutil.virtual_memory()
swap_memory = psutil.swap_memory()
# Disk Information
disk_usage = psutil.disk_usage('/')
print(f"CPU Count: {cpu_count}")
print(f"CPU Frequency: {cpu_freq.current} MHz")
CPU Count: 8 CPU Frequency: 1100 MHz
In [72]:
!pip freeze
Python(54508) MallocStackLogging: can't turn off malloc stack logging because it was not enabled.
appnope==0.1.4 asttokens==2.4.1 certifi==2024.12.14 cffi==1.17.1 charset-normalizer==3.4.1 click==8.1.7 comm==0.2.1 contourpy==1.3.1 cycler==0.12.1 debugpy==1.8.1 decorator==5.1.1 executing==2.0.1 fonttools==4.55.3 idna==3.10 ipykernel==6.29.3 ipython==8.22.2 jedi==0.19.1 Jinja2==3.1.5 joblib==1.4.2 jupyter_client==8.6.0 jupyter_core==5.7.1 kiwisolver==1.4.8 lightgbm==4.5.0 MarkupSafe==3.0.2 matplotlib==3.10.0 matplotlib-inline==0.1.6 nest-asyncio==1.6.0 nnetsauce==0.29.5 numpy==2.2.1 packaging==23.2 pandas==2.2.3 parso==0.8.3 patsy==1.0.1 pexpect==4.9.0 pillow==11.1.0 platformdirs==4.2.0 prompt-toolkit==3.0.43 psutil==5.9.8 ptyprocess==0.7.0 pure-eval==0.2.2 pycparser==2.22 Pygments==2.17.2 pyparsing==3.2.1 python-dateutil==2.9.0.post0 pytz==2024.2 pyzmq==25.1.2 requests==2.32.3 rpy2==3.5.17 rtopy==0.1.1 scikit-learn==1.6.0 scipy==1.15.0 seaborn==0.13.2 six==1.16.0 stack-data==0.6.3 statsmodels==0.14.4 threadpoolctl==3.5.0 tornado==6.4 tqdm==4.67.1 traitlets==5.14.1 tzdata==2024.2 tzlocal==5.2 urllib3==2.3.0 wcwidth==0.2.13 xgboost==2.1.3
5 - 2 R¶
In [74]:
%R sessionInfo()
Out[74]:
ListVector with 14 elements.
| R.version |
ListVector with 14 elements.
|
||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| platform |
StrVector with 1 elements.
|
||||||||||||||||||||
| locale |
StrVector with 1 elements.
|
||||||||||||||||||||
| ... | ... | ||||||||||||||||||||
| BLAS |
StrVector with 1 elements.
|
||||||||||||||||||||
| LAPACK |
StrVector with 1 elements.
|
||||||||||||||||||||
| LA_version |
StrVector with 1 elements.
|
Conclusion
So, based on these extensive experiments against the state of the art (and assuming the implementations of the state of the art methods are correct, which I’m sure they are, see https://computo.sfds.asso.fr/published-202407-susmann-adaptive-conformal/, and assuming I’m using them well), how cool is this contribution to the science of forecasting? My results are particularly impressive on the 3003 time series from the M3 competition (versus other quite recent conformal prediction methods). On M5 competition data, the method is performing on par with XGBoost, LightGBM, GradientBoostingRegressor quantile regressors. All from 3 prominent package heavyweights on the market. My 2 cents (but I might be wrong): almost nobody likes simplicity in corporate world, and in academia in particular, because they need to justify, somehow, why something is expensive/why they are funded. A bias that fuels complexity (read: complex=”substantial”) for the sake of complexity. Man, IT JUST WORKS. And even more than that, as hopefully demonstrated here with extensive benchmarks.
Citation
For attribution, please cite this work as:
T. Moudiki (2025-01-05). Just got a paper on conformal prediction REJECTED by International Journal of Forecasting despite evidence on 30,000 time series (and more). What's going on?. Retrieved from https://thierrymoudiki.github.io/blog/2025/01/05/r/forecasting/python/misc/ijf-benchmark-rejection
BibTeX citation (remove empty spaces)
@misc{ tmoudiki20250105,
author = { T. Moudiki },
title = { Just got a paper on conformal prediction REJECTED by International Journal of Forecasting despite evidence on 30,000 time series (and more). What's going on? },
url = { https://thierrymoudiki.github.io/blog/2025/01/05/r/forecasting/python/misc/ijf-benchmark-rejection },
year = { 2025 } }
Previous publications
- I'm supposed to present 'Conformal Predictive Simulations for Univariate Time Series' at COPA CONFERENCE 2025 in London... Sep 4, 2025
- external regressors in ahead::dynrmf's interface for Machine learning forecasting Sep 1, 2025
- Another interesting decision, now for 'Beyond Nelson-Siegel and splines: A model-agnostic Machine Learning framework for discount curve calibration, interpolation and extrapolation' Aug 20, 2025
- Boosting any randomized based learner for regression, classification and univariate/multivariate time series forcasting Jul 26, 2025
- New nnetsauce version with CustomBackPropRegressor (CustomRegressor with Backpropagation) and ElasticNet2Regressor (Ridge2 with ElasticNet regularization) Jul 15, 2025
- mlsauce (home to a model-agnostic gradient boosting algorithm) can now be installed from PyPI. Jul 10, 2025
- A user-friendly graphical interface to techtonique dot net's API (will eventually contain graphics). Jul 8, 2025
- Calling =TECHTO_MLCLASSIFICATION for Machine Learning supervised CLASSIFICATION in Excel is just a matter of copying and pasting Jul 7, 2025
- Calling =TECHTO_MLREGRESSION for Machine Learning supervised regression in Excel is just a matter of copying and pasting Jul 6, 2025
- Calling =TECHTO_RESERVING and =TECHTO_MLRESERVING for claims triangle reserving in Excel is just a matter of copying and pasting Jul 5, 2025
- Calling =TECHTO_SURVIVAL for Survival Analysis in Excel is just a matter of copying and pasting Jul 4, 2025
- Calling =TECHTO_SIMULATION for Stochastic Simulation in Excel is just a matter of copying and pasting Jul 3, 2025
- Calling =TECHTO_FORECAST for forecasting in Excel is just a matter of copying and pasting Jul 2, 2025
- Random Vector Functional Link (RVFL) artificial neural network with 2 regularization parameters successfully used for forecasting/synthetic simulation in professional settings: Extensions (including Bayesian) Jul 1, 2025
- R version of 'Backpropagating quasi-randomized neural networks' Jun 24, 2025
- Backpropagating quasi-randomized neural networks Jun 23, 2025
- Beyond ARMA-GARCH: leveraging any statistical model for volatility forecasting Jun 21, 2025
- Stacked generalization (Machine Learning model stacking) + conformal prediction for forecasting with ahead::mlf Jun 18, 2025
- An Overfitting dilemma: XGBoost Default Hyperparameters vs GenericBooster + LinearRegression Default Hyperparameters Jun 14, 2025
- Programming language-agnostic reserving using RidgeCV, LightGBM, XGBoost, and ExtraTrees Machine Learning models Jun 13, 2025
- Exceptionally, and on a more personal note (otherwise I may get buried alive)... Jun 10, 2025
- Free R, Python and SQL editors in techtonique dot net Jun 9, 2025
- Beyond Nelson-Siegel and splines: A model-agnostic Machine Learning framework for discount curve calibration, interpolation and extrapolation Jun 7, 2025
- scikit-learn, glmnet, xgboost, lightgbm, pytorch, keras, nnetsauce in probabilistic Machine Learning (for longitudinal data) Reserving (work in progress) Jun 6, 2025
- R version of Probabilistic Machine Learning (for longitudinal data) Reserving (work in progress) Jun 5, 2025
- Probabilistic Machine Learning (for longitudinal data) Reserving (work in progress) Jun 4, 2025
- Python version of Beyond ARMA-GARCH: leveraging model-agnostic Quasi-Randomized networks and conformal prediction for nonparametric probabilistic stock forecasting (ML-ARCH) Jun 3, 2025
- Beyond ARMA-GARCH: leveraging model-agnostic Machine Learning and conformal prediction for nonparametric probabilistic stock forecasting (ML-ARCH) Jun 2, 2025
- Permutations and SHAPley values for feature importance in techtonique dot net's API (with R + Python + the command line) Jun 1, 2025
- Which patient is going to survive longer? Another guide to using techtonique dot net's API (with R + Python + the command line) for survival analysis May 31, 2025
- A Guide to Using techtonique.net's API and rush for simulating and plotting Stochastic Scenarios May 30, 2025
- Simulating Stochastic Scenarios with Diffusion Models: A Guide to Using techtonique.net's API for the purpose May 29, 2025
- Will my apartment in 5th avenue be overpriced or not? Harnessing the power of www.techtonique.net (+ xgboost, lightgbm, catboost) to find out May 28, 2025
- How long must I wait until something happens: A Comprehensive Guide to Survival Analysis via an API May 27, 2025
- Harnessing the Power of techtonique.net: A Comprehensive Guide to Machine Learning Classification via an API May 26, 2025
- Quantile regression with any regressor -- Examples with RandomForestRegressor, RidgeCV, KNeighborsRegressor May 20, 2025
- Survival stacking: survival analysis translated as supervised classification in R and Python May 5, 2025
- 'Bayesian' optimization of hyperparameters in a R machine learning model using the bayesianrvfl package Apr 25, 2025
- A lightweight interface to scikit-learn in R: Bayesian and Conformal prediction Apr 21, 2025
- A lightweight interface to scikit-learn in R Pt.2: probabilistic time series forecasting in conjunction with ahead::dynrmf Apr 20, 2025
- Extending the Theta forecasting method to GLMs, GAMs, GLMBOOST and attention: benchmarking on Tourism, M1, M3 and M4 competition data sets (28000 series) Apr 14, 2025
- Extending the Theta forecasting method to GLMs and attention Apr 8, 2025
- Nonlinear conformalized Generalized Linear Models (GLMs) with R package 'rvfl' (and other models) Mar 31, 2025
- Probabilistic Time Series Forecasting (predictive simulations) in Microsoft Excel using Python, xlwings lite and www.techtonique.net Mar 28, 2025
- Conformalize (improved prediction intervals and simulations) any R Machine Learning model with misc::conformalize Mar 25, 2025
- My poster for the 18th FINANCIAL RISKS INTERNATIONAL FORUM by Institut Louis Bachelier/Fondation du Risque/Europlace Institute of Finance Mar 19, 2025
- Interpretable probabilistic kernel ridge regression using Matérn 3/2 kernels Mar 16, 2025
- (News from) Probabilistic Forecasting of univariate and multivariate Time Series using Quasi-Randomized Neural Networks (Ridge2) and Conformal Prediction Mar 9, 2025
- Word-Online: re-creating Karpathy's char-RNN (with supervised linear online learning of word embeddings) for text completion Mar 8, 2025
- CRAN-like repository for most recent releases of Techtonique's R packages Mar 2, 2025
- Presenting 'Online Probabilistic Estimation of Carbon Beta and Carbon Shapley Values for Financial and Climate Risk' at Institut Louis Bachelier Feb 27, 2025
- Web app with DeepSeek R1 and Hugging Face API for chatting Feb 23, 2025
- tisthemachinelearner: A Lightweight interface to scikit-learn with 2 classes, Classifier and Regressor (in Python and R) Feb 17, 2025
- R version of survivalist: Probabilistic model-agnostic survival analysis using scikit-learn, xgboost, lightgbm (and conformal prediction) Feb 12, 2025
- Model-agnostic global Survival Prediction of Patients with Myeloid Leukemia in QRT/Gustave Roussy Challenge (challengedata.ens.fr): Python's survivalist Quickstart Feb 10, 2025
- A simple test of the martingale hypothesis in esgtoolkit Feb 3, 2025
- Command Line Interface (CLI) for techtonique.net's API Jan 31, 2025
- Gradient-Boosting and Boostrap aggregating anything (alert: high performance): Part5, easier install and Rust backend Jan 27, 2025
- Just got a paper on conformal prediction REJECTED by International Journal of Forecasting despite evidence on 30,000 time series (and more). What's going on? Part2: 1311 time series from the Tourism competition Jan 20, 2025
- Techtonique is out! (with a tutorial in various programming languages and formats) Jan 14, 2025
- Univariate and Multivariate Probabilistic Forecasting with nnetsauce and TabPFN Jan 14, 2025
- Just got a paper on conformal prediction REJECTED by International Journal of Forecasting despite evidence on 30,000 time series (and more). What's going on? Jan 5, 2025
- Python and Interactive dashboard version of Stock price forecasting with Deep Learning: throwing power at the problem (and why it won't make you rich) Dec 31, 2024
- Stock price forecasting with Deep Learning: throwing power at the problem (and why it won't make you rich) Dec 29, 2024
- No-code Machine Learning Cross-validation and Interpretability in techtonique.net Dec 23, 2024
- survivalist: Probabilistic model-agnostic survival analysis using scikit-learn, glmnet, xgboost, lightgbm, pytorch, keras, nnetsauce and mlsauce Dec 15, 2024
- Model-agnostic 'Bayesian' optimization (for hyperparameter tuning) using conformalized surrogates in GPopt Dec 9, 2024
- You can beat Forecasting LLMs (Large Language Models a.k.a foundation models) with nnetsauce.MTS Pt.2: Generic Gradient Boosting Dec 1, 2024
- You can beat Forecasting LLMs (Large Language Models a.k.a foundation models) with nnetsauce.MTS Nov 24, 2024
- Unified interface and conformal prediction (calibrated prediction intervals) for R package forecast (and 'affiliates') Nov 23, 2024
- GLMNet in Python: Generalized Linear Models Nov 18, 2024
- Gradient-Boosting anything (alert: high performance): Part4, Time series forecasting Nov 10, 2024
- Predictive scenarios simulation in R, Python and Excel using Techtonique API Nov 3, 2024
- Chat with your tabular data in www.techtonique.net Oct 30, 2024
- Gradient-Boosting anything (alert: high performance): Part3, Histogram-based boosting Oct 28, 2024
- R editor and SQL console (in addition to Python editors) in www.techtonique.net Oct 21, 2024
- R and Python consoles + JupyterLite in www.techtonique.net Oct 15, 2024
- Gradient-Boosting anything (alert: high performance): Part2, R version Oct 14, 2024
- Gradient-Boosting anything (alert: high performance) Oct 6, 2024
- Benchmarking 30 statistical/Machine Learning models on the VN1 Forecasting -- Accuracy challenge Oct 4, 2024
- Automated random variable distribution inference using Kullback-Leibler divergence and simulating best-fitting distribution Oct 2, 2024
- Forecasting in Excel using Techtonique's Machine Learning APIs under the hood Sep 30, 2024
- Techtonique web app for data-driven decisions using Mathematics, Statistics, Machine Learning, and Data Visualization Sep 25, 2024
- Parallel for loops (Map or Reduce) + New versions of nnetsauce and ahead Sep 16, 2024
- Adaptive (online/streaming) learning with uncertainty quantification using Polyak averaging in learningmachine Sep 10, 2024
- New versions of nnetsauce and ahead Sep 9, 2024
- Prediction sets and prediction intervals for conformalized Auto XGBoost, Auto LightGBM, Auto CatBoost, Auto GradientBoosting Sep 2, 2024
- Quick/automated R package development workflow (assuming you're using macOS or Linux) Part2 Aug 30, 2024
- R package development workflow (assuming you're using macOS or Linux) Aug 27, 2024
- A new method for deriving a nonparametric confidence interval for the mean Aug 26, 2024
- Conformalized adaptive (online/streaming) learning using learningmachine in Python and R Aug 19, 2024
- Bayesian (nonlinear) adaptive learning Aug 12, 2024
- Auto XGBoost, Auto LightGBM, Auto CatBoost, Auto GradientBoosting Aug 5, 2024
- Copulas for uncertainty quantification in time series forecasting Jul 28, 2024
- Forecasting uncertainty: sequential split conformal prediction + Block bootstrap (web app) Jul 22, 2024
- learningmachine for Python (new version) Jul 15, 2024
- learningmachine v2.0.0: Machine Learning with explanations and uncertainty quantification Jul 8, 2024
- My presentation at ISF 2024 conference (slides with nnetsauce probabilistic forecasting news) Jul 3, 2024
- 10 uncertainty quantification methods in nnetsauce forecasting Jul 1, 2024
- Forecasting with XGBoost embedded in Quasi-Randomized Neural Networks Jun 24, 2024
- Forecasting Monthly Airline Passenger Numbers with Quasi-Randomized Neural Networks Jun 17, 2024
- Automated hyperparameter tuning using any conformalized surrogate Jun 9, 2024
- Recognizing handwritten digits with Ridge2Classifier Jun 3, 2024
- Forecasting the Economy May 27, 2024
- A detailed introduction to Deep Quasi-Randomized 'neural' networks May 19, 2024
- Probability of receiving a loan; using learningmachine May 12, 2024
- mlsauce's `v0.18.2`: various examples and benchmarks with dimension reduction May 6, 2024
- mlsauce's `v0.17.0`: boosting with Elastic Net, polynomials and heterogeneity in explanatory variables Apr 29, 2024
- mlsauce's `v0.13.0`: taking into account inputs heterogeneity through clustering Apr 21, 2024
- mlsauce's `v0.12.0`: prediction intervals for LSBoostRegressor Apr 15, 2024
- Conformalized predictive simulations for univariate time series on more than 250 data sets Apr 7, 2024
- learningmachine v1.1.2: for Python Apr 1, 2024
- learningmachine v1.0.0: prediction intervals around the probability of the event 'a tumor being malignant' Mar 25, 2024
- Bayesian inference and conformal prediction (prediction intervals) in nnetsauce v0.18.1 Mar 18, 2024
- Multiple examples of Machine Learning forecasting with ahead Mar 11, 2024
- rtopy (v0.1.1): calling R functions in Python Mar 4, 2024
- ahead forecasting (v0.10.0): fast time series model calibration and Python plots Feb 26, 2024
- A plethora of datasets at your fingertips Part3: how many times do couples cheat on each other? Feb 19, 2024
- nnetsauce's introduction as of 2024-02-11 (new version 0.17.0) Feb 11, 2024
- Tuning Machine Learning models with GPopt's new version Part 2 Feb 5, 2024
- Tuning Machine Learning models with GPopt's new version Jan 29, 2024
- Subsampling continuous and discrete response variables Jan 22, 2024
- DeepMTS, a Deep Learning Model for Multivariate Time Series Jan 15, 2024
- A classifier that's very accurate (and deep) Pt.2: there are > 90 classifiers in nnetsauce Jan 8, 2024
- learningmachine: prediction intervals for conformalized Kernel ridge regression and Random Forest Jan 1, 2024
- A plethora of datasets at your fingertips Part2: how many times do couples cheat on each other? Descriptive analytics, interpretability and prediction intervals using conformal prediction Dec 25, 2023
- Diffusion models in Python with esgtoolkit (Part2) Dec 18, 2023
- Diffusion models in Python with esgtoolkit Dec 11, 2023
- Julia packaging at the command line Dec 4, 2023
- Quasi-randomized nnetworks in Julia, Python and R Nov 27, 2023
- A plethora of datasets at your fingertips Nov 20, 2023
- A classifier that's very accurate (and deep) Nov 12, 2023
- mlsauce version 0.8.10: Statistical/Machine Learning with Python and R Nov 5, 2023
- AutoML in nnetsauce (randomized and quasi-randomized nnetworks) Pt.2: multivariate time series forecasting Oct 29, 2023
- AutoML in nnetsauce (randomized and quasi-randomized nnetworks) Oct 22, 2023
- Version v0.14.0 of nnetsauce for R and Python Oct 16, 2023
- A diffusion model: G2++ Oct 9, 2023
- Diffusion models in ESGtoolkit + announcements Oct 2, 2023
- An infinity of time series forecasting models in nnetsauce (Part 2 with uncertainty quantification) Sep 25, 2023
- (News from) forecasting in Python with ahead (progress bars and plots) Sep 18, 2023
- Forecasting in Python with ahead Sep 11, 2023
- Risk-neutralize simulations Sep 4, 2023
- Comparing cross-validation results using crossval_ml and boxplots Aug 27, 2023
- Reminder Apr 30, 2023
- Did you ask ChatGPT about who you are? Apr 16, 2023
- A new version of nnetsauce (randomized and quasi-randomized 'neural' networks) Apr 2, 2023
- Simple interfaces to the forecasting API Nov 23, 2022
- A web application for forecasting in Python, R, Ruby, C#, JavaScript, PHP, Go, Rust, Java, MATLAB, etc. Nov 2, 2022
- Prediction intervals (not only) for Boosted Configuration Networks in Python Oct 5, 2022
- Boosted Configuration (neural) Networks Pt. 2 Sep 3, 2022
- Boosted Configuration (_neural_) Networks for classification Jul 21, 2022
- A Machine Learning workflow using Techtonique Jun 6, 2022
- Super Mario Bros © in the browser using PyScript May 8, 2022
- News from ESGtoolkit, ycinterextra, and nnetsauce Apr 4, 2022
- Explaining a Keras _neural_ network predictions with the-teller Mar 11, 2022
- New version of nnetsauce -- various quasi-randomized networks Feb 12, 2022
- A dashboard illustrating bivariate time series forecasting with `ahead` Jan 14, 2022
- Hundreds of Statistical/Machine Learning models for univariate time series, using ahead, ranger, xgboost, and caret Dec 20, 2021
- Forecasting with `ahead` (Python version) Dec 13, 2021
- Tuning and interpreting LSBoost Nov 15, 2021
- Time series cross-validation using `crossvalidation` (Part 2) Nov 7, 2021
- Fast and scalable forecasting with ahead::ridge2f Oct 31, 2021
- Automatic Forecasting with `ahead::dynrmf` and Ridge regression Oct 22, 2021
- Forecasting with `ahead` Oct 15, 2021
- Classification using linear regression Sep 26, 2021
- `crossvalidation` and random search for calibrating support vector machines Aug 6, 2021
- parallel grid search cross-validation using `crossvalidation` Jul 31, 2021
- `crossvalidation` on R-universe, plus a classification example Jul 23, 2021
- Documentation and source code for GPopt, a package for Bayesian optimization Jul 2, 2021
- Hyperparameters tuning with GPopt Jun 11, 2021
- A forecasting tool (API) with examples in curl, R, Python May 28, 2021
- Bayesian Optimization with GPopt Part 2 (save and resume) Apr 30, 2021
- Bayesian Optimization with GPopt Apr 16, 2021
- Compatibility of nnetsauce and mlsauce with scikit-learn Mar 26, 2021
- Explaining xgboost predictions with the teller Mar 12, 2021
- An infinity of time series models in nnetsauce Mar 6, 2021
- New activation functions in mlsauce's LSBoost Feb 12, 2021
- 2020 recap, Gradient Boosting, Generalized Linear Models, AdaOpt with nnetsauce and mlsauce Dec 29, 2020
- A deeper learning architecture in nnetsauce Dec 18, 2020
- Classify penguins with nnetsauce's MultitaskClassifier Dec 11, 2020
- Bayesian forecasting for uni/multivariate time series Dec 4, 2020
- Generalized nonlinear models in nnetsauce Nov 28, 2020
- Boosting nonlinear penalized least squares Nov 21, 2020
- Statistical/Machine Learning explainability using Kernel Ridge Regression surrogates Nov 6, 2020
- NEWS Oct 30, 2020
- A glimpse into my PhD journey Oct 23, 2020
- Submitting R package to CRAN Oct 16, 2020
- Simulation of dependent variables in ESGtoolkit Oct 9, 2020
- Forecasting lung disease progression Oct 2, 2020
- New nnetsauce Sep 25, 2020
- Technical documentation Sep 18, 2020
- A new version of nnetsauce, and a new Techtonique website Sep 11, 2020
- Back next week, and a few announcements Sep 4, 2020
- Explainable 'AI' using Gradient Boosted randomized networks Pt2 (the Lasso) Jul 31, 2020
- LSBoost: Explainable 'AI' using Gradient Boosted randomized networks (with examples in R and Python) Jul 24, 2020
- nnetsauce version 0.5.0, randomized neural networks on GPU Jul 17, 2020
- Maximizing your tip as a waiter (Part 2) Jul 10, 2020
- New version of mlsauce, with Gradient Boosted randomized networks and stump decision trees Jul 3, 2020
- Announcements Jun 26, 2020
- Parallel AdaOpt classification Jun 19, 2020
- Comments section and other news Jun 12, 2020
- Maximizing your tip as a waiter Jun 5, 2020
- AdaOpt classification on MNIST handwritten digits (without preprocessing) May 29, 2020
- AdaOpt (a probabilistic classifier based on a mix of multivariable optimization and nearest neighbors) for R May 22, 2020
- AdaOpt May 15, 2020
- Custom errors for cross-validation using crossval::crossval_ml May 8, 2020
- Documentation+Pypi for the `teller`, a model-agnostic tool for Machine Learning explainability May 1, 2020
- Encoding your categorical variables based on the response variable and correlations Apr 24, 2020
- Linear model, xgboost and randomForest cross-validation using crossval::crossval_ml Apr 17, 2020
- Grid search cross-validation using crossval Apr 10, 2020
- Documentation for the querier, a query language for Data Frames Apr 3, 2020
- Time series cross-validation using crossval Mar 27, 2020
- On model specification, identification, degrees of freedom and regularization Mar 20, 2020
- Import data into the querier (now on Pypi), a query language for Data Frames Mar 13, 2020
- R notebooks for nnetsauce Mar 6, 2020
- Version 0.4.0 of nnetsauce, with fruits and breast cancer classification Feb 28, 2020
- Create a specific feed in your Jekyll blog Feb 21, 2020
- Git/Github for contributing to package development Feb 14, 2020
- Feedback forms for contributing Feb 7, 2020
- nnetsauce for R Jan 31, 2020
- A new version of nnetsauce (v0.3.1) Jan 24, 2020
- ESGtoolkit, a tool for Monte Carlo simulation (v0.2.0) Jan 17, 2020
- Search bar, new year 2020 Jan 10, 2020
- 2019 Recap, the nnetsauce, the teller and the querier Dec 20, 2019
- Understanding model interactions with the `teller` Dec 13, 2019
- Using the `teller` on a classifier Dec 6, 2019
- Benchmarking the querier's verbs Nov 29, 2019
- Composing the querier's verbs for data wrangling Nov 22, 2019
- Comparing and explaining model predictions with the teller Nov 15, 2019
- Tests for the significance of marginal effects in the teller Nov 8, 2019
- Introducing the teller Nov 1, 2019
- Introducing the querier Oct 25, 2019
- Prediction intervals for nnetsauce models Oct 18, 2019
- Using R in Python for statistical learning/data science Oct 11, 2019
- Model calibration with `crossval` Oct 4, 2019
- Bagging in the nnetsauce Sep 25, 2019
- Adaboost learning with nnetsauce Sep 18, 2019
- Change in blog's presentation Sep 4, 2019
- nnetsauce on Pypi Jun 5, 2019
- More nnetsauce (examples of use) May 9, 2019
- nnetsauce Mar 13, 2019
- crossval Mar 13, 2019
- test Mar 10, 2019
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