Closed ahmadshahi closed 11 months ago
The idea of basic implementation is the following:
1) Obtain set of TOP-n best pipelines from OptHistory (see 'leaderboard') 2) Estimate the quantile-based boundaries of interval for each point of forecast 3) Add interval to the visualisation of forecast.
Expected results:
When we forecast futures values, there is always uncertainty around the values that needed to be quantified. This is called risk. It would be nice if we can provide a probabilistic forecast around the forecasted values.