ConformalIntervals
chronax.conformal_intervals.ConformalIntervals
Parameters for conformal prediction interval construction.
__init__(self, n_windows: int = 2, h: int = 1, method: str = 'conformal_distribution')
Initializes the conformal intervals configuration.
| Parameter | Type | Default | Description |
|---|---|---|---|
n_windows |
int |
2 |
number of walk-forward cross-validation windows (>= 2) |
h |
int |
1 |
forecast horizon |
method |
str |
'conformal_distribution' |
interval construction method: 'conformal_distribution' (default, symmetric) or 'conformal_signed' (asymmetric) |