Sequential split conformal prediction for hierarchical forecasting Returns simulations at both total and bottom levels

Sequential split conformal prediction for hierarchical forecasting Returns simulations at both total and bottom levels

sequential_conformal_hts(
  hts,
  h = 12,
  split_ratio = 0.6,
  n_sim = 1000,
  alpha = 0.1
)

Arguments

hts

2-level HTS object

h

Forecast horizon

split_ratio

Training/calibration split ratio

n_sim

Number of simulation samples

alpha

Significance level for prediction intervals

Value

Forecast with prediction intervals and simulations