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[ENH] Implementing predict_interval in ColumnEnsembleForecaster #2081

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@kejsitake kejsitake commented Feb 18, 2022

Implementing predict_interval for the multivariate case in ColumnEnsembleForecaster

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What does this implement/fix? Explain your changes.

@kejsitake kejsitake changed the title Implementing predict_interval for the multivariate case... [ENH] Implementing predict_interval for the multivariate case... Feb 18, 2022
@fkiraly fkiraly changed the title [ENH] Implementing predict_interval for the multivariate case... [ENH] Implementing predict_interval in ColumnEnsembleForecaster Feb 18, 2022
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fkiraly commented Apr 1, 2022

FYI, I tried this here #2356 since I needed it for sth else (testing multivariate proba predictions).

It turns out that there were a few bugs in the sktime framework that would have prevented this from going smoothly (see the PR and the bugfixes it depends on)

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kejsitake commented Apr 1, 2022

Thanks for the heads-up. Will take a look!
Should I close this issue?

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fkiraly commented Apr 1, 2022

Should I close this issue?

I'd say, let's keep it open until #2356 is reviewed and potentially merged.
(your approach is different as far as I can tell)

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fkiraly commented Apr 8, 2022

#2356 is merged and seems to work fine, so closing this. Thanks for your work, @kejsitake, and sorry for the bugs that were overlaying this.

@fkiraly fkiraly closed this Apr 8, 2022
Workstream: forecasting and series transformers automation moved this from In progress to Done Apr 8, 2022
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