LQM Registry / research
Rolling Probabilistic Forecast Calibration
Out-of-sample rolling AR(1) residual-bootstrap calibration with empirical interval coverage, width, interval score and explicit look-ahead guard.
Model key
lq.research.rolling-forecast-calibrationVersion1.0.0
Runtimepython-process
Model contract
Inputs are explicit.
{
"type": "object",
"required": [
"values"
],
"properties": {
"values": {
"type": "array",
"items": {
"type": "number"
},
"minItems": 40
}
}
}Output contract
Outputs are explicit.
{
"type": "object",
"required": [
"evaluation_protocol",
"nominal_coverage",
"empirical_coverage",
"coverage_absolute_error",
"average_interval_score",
"lookahead_guard"
]
}Default parameters
{
"initial_window": 24,
"interval": 0.90000000000000002220446049250313080847263336181640625,
"scenarios": 300,
"expanding_window": true,
"rolling_window": 24
}Example input
{
"values": [
100,
100.400000000000005684341886080801486968994140625,
100.7999999999999971578290569595992565155029296875,
100.599999999999994315658113919198513031005859375,
101.099999999999994315658113919198513031005859375,
101.5,
101.2999999999999971578290569595992565155029296875,
101.900000000000005684341886080801486968994140625,
102.2000000000000028421709430404007434844970703125,
102,
102.599999999999994315658113919198513031005859375,
102.900000000000005684341886080801486968994140625,
103.2000000000000028421709430404007434844970703125,
103,
103.7000000000000028421709430404007434844970703125,
104.099999999999994315658113919198513031005859375,
103.900000000000005684341886080801486968994140625,
104.5,
104.7999999999999971578290569595992565155029296875,
105,
105.400000000000005684341886080801486968994140625,
105.2000000000000028421709430404007434844970703125,
105.900000000000005684341886080801486968994140625,
106.2999999999999971578290569595992565155029296875,
106.099999999999994315658113919198513031005859375,
106.7999999999999971578290569595992565155029296875,
107,
107.5,
107.2999999999999971578290569595992565155029296875,
107.900000000000005684341886080801486968994140625,
108.2000000000000028421709430404007434844970703125,
108,
108.7000000000000028421709430404007434844970703125,
109.099999999999994315658113919198513031005859375,
108.900000000000005684341886080801486968994140625,
109.5,
109.7999999999999971578290569595992565155029296875,
110.2000000000000028421709430404007434844970703125,
110,
110.7000000000000028421709430404007434844970703125,
111.099999999999994315658113919198513031005859375,
111.400000000000005684341886080801486968994140625,
111.2000000000000028421709430404007434844970703125,
111.900000000000005684341886080801486968994140625,
112.2999999999999971578290569595992565155029296875,
112.099999999999994315658113919198513031005859375,
112.7999999999999971578290569595992565155029296875,
113.2000000000000028421709430404007434844970703125
]
}