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Prediction interval for ES-RNN #35
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Hi @marijnhazelbag, I imagine, it could be easy to adapt the final layer of the ES-RNN to output multi-quantiles. Let me know if you want to try it, or would you need help with it. |
Thank you for the swift response! I will try and let you know if I run into problems :) |
I am reaching a friend who might have already done it to point you to his work. |
Hi, @marijnhazelbag, Thanks for your interest. We have written the multi-quantile version of the ESRNN model: MQESRNN; you can find it in our new library for time series forecasting using Deep Learning named nixtlats, in particular here. You can import it using:
You pass a list of percentiles to obtain prediction intervals; for example, if you want a 90% prediction interval, you could use |
Thank you, gentlemen! I really appreciate it. |
Thank you for making this implementation available. Sorry if I missed It; Is there an easy way to obtain prediction intervals with your ES-RNN implementation?
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