add level argument to forecast_fitted_values

Nixtla / mlforecast

Scalable machine 🤖 learning for time series forecasting.

https://nixtlaverse.nixtla.io/mlforecast

Apache License 2.0

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add level argument to forecast_fitted_values #287

Closed jmoralez closed 9 months ago

jmoralez commented 9 months ago

Description

Adds the level argument to MLForecast.forecast_fitted_values to add prediction intervals to the in-sample predictions. This is achieved by assuming the errors are normally distributed, computing their standard deviations by serie and using the appropriate quantile of the normal distribution to compute the widths.

Fixes #285

Checklist:

[x] This PR has a meaningful title and a clear description.
[x] The tests pass.
[x] All linting tasks pass.
[x] The notebooks are clean.

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