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Copula Conformal Prediction for Multi-step Time Series Forecasting [Paper]
| Introduction
Copula Conformal Prediction algorithm for multivariate, multi-step Time Series (CopulaCPTS) is a conformal prediction algorithm with full-horizon validity guarantee.
| Citation
[2212.03281] Copula Conformal Prediction for Multi-step Time Series Forecasting
@inproceedings{sun2023copula,
title={Copula Conformal prediction for multi-step time series prediction},
author={Sun, Sophia Huiwen and Yu, Rose},
booktitle={The Twelfth International Conference on Learning Representations},
year={2023}
}
| Installation
pip install -r requirements.txt
| Datasets
Please see below for links and refer to Section 5.1 and Appendix C.1 in the paper for processing details.
Particles | Drone| Epidemiology | Argoverse 1
| Training and Testing
To illustrate the usage of our code, we have included pre-generated NRI Particles data in this repository. To replicate the experiment, simply run:
./run_experiment.sh
| Recreate plots in the paper
Please see Visualization.ipynb
for example code for creating Figure 3 in the paper.