int_conformal_split(): Residuals should be sorted?

[mdancho84]

I checked out int_conformal_split() function. One thing that I did differently was I take the absolute value and sort the residuals in modeltime's implementation. This ensures that the range of residuals are below the selected level.

probably/R/conformal_infer_split.R

Line 107 in c463266

q_val <- object$resid[q_ind]

Probably Implementation:

What I implementing in Modeltime:

[brshallo]

@mdancho84 that seems consistent with what Angelopoulos, Bates do in Gentle Introduction to Conformal Prediction...

Same issue looks like it is in predict.int_conformal_quantile():

probably/R/conformal_infer_quantile.R

Line 129 in 1d4b4c1

q_val <- object$resid[q_ind]

[topepo]

They are "pre-absoluted" and pre-sorted for split inference and only pre-sorted for quantile inference.

For the quantile method, I was working off of Ryan Tibshirani's notes (page 13 section 4.2), which does not use the absolute value (and probably doesn't need to since it operated in a completely different way).

If it helps, I did do a pretty thorough simulation of these functions to check their coverage. Not that there are no errors in the code, but the current version does seem to do what it is intended to do (statistically, at least).

[brshallo]

They are "pre-absoluted" and pre-sorted for split inference and only pre-sorted for quantile inference.

Ahh, I see now, thanks. (For quantile based method, the Angelopoulos & Bates paper I referenced also just sorts and does not take absolutes -- consistent with your implementation / Tibshirani.)