Generalized Linear Model Theta Forecast with attention - conformal uncertainty

1 - USAccDeaths 

## Registered S3 method overwritten by 'quantmod':
##   method            from
##   as.zoo.data.frame zoo
library(ahead)

# glm.nb
par(mfrow=c(2,1))
obj1 <- suppressWarnings(ahead::glmthetaf(USAccDeaths, h=25L, fit_func=MASS::glm.nb, attention = TRUE, type_pi = "conformal-split", method = "adj"))
plot(obj1, main="With attention")
obj2 <- suppressWarnings(ahead::glmthetaf(USAccDeaths, h=25L, fit_func=MASS::glm.nb, attention = FALSE, type_pi = "conformal-split", method = "adj"))
plot(obj2, main="Without attention")

# glm
par(mfrow=c(2,1))
obj1 <- suppressWarnings(ahead::glmthetaf(USAccDeaths, h=25L, fit_func=stats::glm, attention = TRUE, type_pi = "conformal-split", method = "adj"))
plot(obj1, main="With attention")
obj2 <- suppressWarnings(ahead::glmthetaf(USAccDeaths, h=25L, fit_func=stats::glm, attention = FALSE, type_pi = "conformal-split", method = "adj"))
plot(obj2, main="Without attention")

# rlm
par(mfrow=c(2,1))
obj1 <- suppressWarnings(ahead::glmthetaf(USAccDeaths, h=25L, fit_func=MASS::rlm, attention = TRUE, type_pi = "conformal-split", method = "adj"))
plot(obj1, main="With attention")
obj2 <- suppressWarnings(ahead::glmthetaf(USAccDeaths, h=25L, fit_func=MASS::rlm, attention = FALSE, type_pi = "conformal-split", method = "adj"))
plot(obj2, main="Without attention")

# lqs
par(mfrow=c(2,1))
obj1 <- suppressWarnings(ahead::glmthetaf(USAccDeaths, h=25L, fit_func=MASS::lqs, attention = TRUE, type_pi = "conformal-split", method = "adj"))
plot(obj1, main="With attention")
obj2 <- suppressWarnings(ahead::glmthetaf(USAccDeaths, h=25L, fit_func=MASS::lqs, attention = FALSE, type_pi = "conformal-split", method = "adj"))
plot(obj2, main="Without attention")

# lm
par(mfrow=c(2,1))
obj1 <- suppressWarnings(ahead::glmthetaf(USAccDeaths, h=25L, fit_func=stats::lm, attention = TRUE, type_pi = "conformal-split", method = "adj"))
plot(obj1, main="With attention")
obj2 <- suppressWarnings(ahead::glmthetaf(USAccDeaths, h=25L, fit_func=stats::lm, attention = FALSE, type_pi = "conformal-split", method = "adj"))
plot(obj2, main="Without attention")

# gam
par(mfrow=c(2,1))
obj1 <- suppressWarnings(ahead::glmthetaf(USAccDeaths, h=25L, fit_func=gam::gam, attention = TRUE, type_pi = "conformal-split", method = "adj"))
plot(obj1, main="With attention")
obj2 <- suppressWarnings(ahead::glmthetaf(USAccDeaths, h=25L, fit_func=gam::gam, attention = FALSE, type_pi = "conformal-split", method = "adj"))
plot(obj2, main="Without attention")

# rq
par(mfrow=c(2,1))
obj1 <- suppressWarnings(ahead::glmthetaf(USAccDeaths, h=25L, fit_func=quantreg::rq, attention = TRUE, type_pi = "conformal-split", method = "adj"))
plot(obj1, main="With attention")
obj2 <- suppressWarnings(ahead::glmthetaf(USAccDeaths, h=25L, fit_func=quantreg::rq, attention = FALSE, type_pi = "conformal-split", method = "adj"))
plot(obj2, main="Without attention")

2 - AirPassengers 

# glm.nb
par(mfrow=c(2,1))
obj1 <- suppressWarnings(ahead::glmthetaf(AirPassengers, h=25L, fit_func=MASS::glm.nb, attention = TRUE, type_pi = "conformal-split", method = "adj"))
plot(obj1, main="With attention")
obj2 <- suppressWarnings(ahead::glmthetaf(AirPassengers, h=25L, fit_func=MASS::glm.nb, attention = FALSE, type_pi = "conformal-split", method = "adj"))
plot(obj2, main="Without attention")

# glm
par(mfrow=c(2,1))
obj1 <- suppressWarnings(ahead::glmthetaf(AirPassengers, h=25L, fit_func=stats::glm, attention = TRUE, type_pi = "conformal-split", method = "adj"))
plot(obj1, main="With attention")
obj2 <- suppressWarnings(ahead::glmthetaf(AirPassengers, h=25L, fit_func=stats::glm, attention = FALSE, type_pi = "conformal-split", method = "adj"))
plot(obj2, main="Without attention")

# rlm
par(mfrow=c(2,1))
obj1 <- suppressWarnings(ahead::glmthetaf(AirPassengers, h=25L, fit_func=MASS::rlm, attention = TRUE, type_pi = "conformal-split", method = "adj"))
plot(obj1, main="With attention")
obj2 <- suppressWarnings(ahead::glmthetaf(AirPassengers, h=25L, fit_func=MASS::rlm, attention = FALSE, type_pi = "conformal-split", method = "adj"))
plot(obj2, main="Without attention")

# lm
par(mfrow=c(2,1))
obj1 <- suppressWarnings(ahead::glmthetaf(AirPassengers, h=25L, fit_func=stats::lm, attention = TRUE, type_pi = "conformal-split", method = "adj"))
plot(obj1, main="With attention")
obj2 <- suppressWarnings(ahead::glmthetaf(AirPassengers, h=25L, fit_func=stats::lm, attention = FALSE, type_pi = "conformal-split", method = "adj"))
plot(obj2, main="Without attention")

# lqs
par(mfrow=c(2,1))
obj1 <- suppressWarnings(ahead::glmthetaf(AirPassengers, h=25L, fit_func=MASS::lqs, attention = TRUE, type_pi = "conformal-split", method = "adj"))
plot(obj1, main="With attention")
obj2 <- suppressWarnings(ahead::glmthetaf(AirPassengers, h=25L, fit_func=MASS::lqs, attention = FALSE, type_pi = "conformal-split", method = "adj"))
plot(obj2, main="Without attention")

# gam
par(mfrow=c(2,1))
obj1 <- suppressWarnings(ahead::glmthetaf(AirPassengers, h=25L, fit_func=gam::gam, attention = TRUE, type_pi = "conformal-split", method = "adj"))
plot(obj1, main="With attention")
obj2 <- suppressWarnings(ahead::glmthetaf(AirPassengers, h=25L, fit_func=gam::gam, attention = FALSE, type_pi = "conformal-split", method = "adj"))
plot(obj2, main="Without attention")

# rq
par(mfrow=c(2,1))
obj1 <- suppressWarnings(ahead::glmthetaf(AirPassengers, h=25L, fit_func=quantreg::rq, attention = TRUE, type_pi = "conformal-split", method = "adj"))
plot(obj1, main="With attention")
obj2 <- suppressWarnings(ahead::glmthetaf(AirPassengers, h=25L, fit_func=quantreg::rq, attention = FALSE, type_pi = "conformal-split", method = "adj"))
plot(obj2, main="Without attention")