Quantile Forecasts • nixtlar

library(nixtlar)

1. Uncertainty quantification via quantiles

For uncertainty quantification, TimeGPT can generate both prediction intervals and quantiles, offering a measure of the range of potential outcomes rather than just a single point forecast. In real-life scenarios, forecasting often requires considering multiple alternatives, not just one prediction. This vignette will explain how to use quantiles with TimeGPT via the nixtlar package.

Quantiles represent the cumulative proportion of the forecast distribution. For instance, the 90th quantile is the value below which 90% of the data points are expected to fall. Notably, the 50th quantile corresponds to the median forecast value provided by TimeGPT. The quantiles are produced using conformal prediction, a framework for creating distribution-free uncertainty intervals for predictive models.

This vignette assumes you have already set up your API key. If you haven’t done this, please read the Get Started vignette first.

2. Load data

For this vignette, we’ll use the electricity consumption dataset that is included in nixtlar, which contains the hourly prices of five different electricity markets.

df <- nixtlar::electricity
head(df)
#>   unique_id                  ds     y
#> 1        BE 2016-10-22 00:00:00 70.00
#> 2        BE 2016-10-22 01:00:00 37.10
#> 3        BE 2016-10-22 02:00:00 37.10
#> 4        BE 2016-10-22 03:00:00 44.75
#> 5        BE 2016-10-22 04:00:00 37.10
#> 6        BE 2016-10-22 05:00:00 35.61

3. Forecast with quantiles

TimeGPT can generate quantiles when using the following function:

- nixtlar::nixtla_client_forecast()
- nixtlar::nixtla_client_historic() 
- nixtlar::nixtla_client_cross_validation()

For any of these functions, simply set the quantiles argument to the desired values. Keep in mind that quantiles should all be numbers between 0 and 1. You can use either quantiles or level for prediction intervals but not both.

fcst <- nixtla_client_forecast(df, h = 8, id_col = "unique_id", quantiles = c(0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9))
#> Frequency chosen: H

head(fcst)
#>   unique_id                  ds  TimeGPT TimeGPT-q-10 TimeGPT-q-20 TimeGPT-q-30
#> 1        BE 2016-12-31 00:00:00 45.19045     40.42074     42.34211     43.54112
#> 2        BE 2016-12-31 01:00:00 43.24445     36.91513     40.05255     41.62179
#> 3        BE 2016-12-31 02:00:00 41.95839     35.55863     38.39862     39.92430
#> 4        BE 2016-12-31 03:00:00 39.79649     33.45859     36.34654     38.08909
#> 5        BE 2016-12-31 04:00:00 39.20454     30.35095     34.39800     36.65258
#> 6        BE 2016-12-31 05:00:00 40.10878     31.60236     34.85969     37.43258
#>   TimeGPT-q-40 TimeGPT-q-50 TimeGPT-q-60 TimeGPT-q-70 TimeGPT-q-80 TimeGPT-q-90
#> 1     44.72518     45.19045     45.65572     46.83979     48.03880     49.96017
#> 2     42.51711     43.24445     43.97178     44.86710     46.43634     49.57376
#> 3     41.13472     41.95839     42.78206     43.99248     45.51815     48.35815
#> 4     38.62703     39.79649     40.96594     41.50388     43.24643     46.13438
#> 5     38.17931     39.20454     40.22976     41.75650     44.01107     48.05812
#> 6     39.16840     40.10878     41.04916     42.78498     45.35787     48.61520

4. Plot quantiles

nixtlar includes a function to plot the historical data and any output from nixtlar::nixtla_client_forecast, nixtlar::nixtla_client_historic, nixtlar::nixtla_client_detect_anomalies and nixtlar::nixtla_client_cross_validation. If you have long series, you can use max_insample_length to only plot the last N historical values (the forecast will always be plotted in full).

When available, nixtlar::nixtla_client_plot will automatically plot the quantiles.

nixtla_client_plot(df, fcst, id_col = "unique_id", max_insample_length = 100)
#> Frequency chosen: H