Writing unit tests for prediction intervals

ababii / Pythia.jl

Machine learning time series regressions

MIT License

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Writing unit tests for prediction intervals #5

Open arvganesh opened 3 years ago

arvganesh commented 3 years ago

@ababii @vollmersj

I'm trying to determine a good way to test the code I wrote to compute prediction intervals for the models I've implemented. Do you have any suggestions?

ababii commented 3 years ago

@arvganesh @vollmersj You can compare it to the output of similar R or Python functions using one of the datasets that we discussed. Note that intervals have to be adjusted by the h-step standard deviation if you assume the N(0,1) distribution for errors. Could you also commit the ETS code, please?