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add level argument to forecast_fitted_values #287

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merged 2 commits into from
Dec 14, 2023
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Description

Adds the level argument to MLForecast.forecast_fitted_values to add prediction intervals to the in-sample predictions. This is achieved by assuming the errors are normally distributed, computing their standard deviations by serie and using the appropriate quantile of the normal distribution to compute the widths.

Fixes #285

Checklist:

  • This PR has a meaningful title and a clear description.
  • The tests pass.
  • All linting tasks pass.
  • The notebooks are clean.

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@jmoralez jmoralez merged commit 7174767 into main Dec 14, 2023
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@jmoralez jmoralez deleted the insample-intervals branch December 14, 2023 21:34
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MLForecast: Core: Add prediction intervals to forecast_fitted_values
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