Efficient conformal prediction intervals for time series: Online PID-Expert aggregation
高效时间序列保形预测区间:在线 PID 专家聚合
For a given point forecaster, proportional-integral-derivative (PID) calibration configurations can attain similar overall coverage yet produce different interval widths. We introduce PID-Expert, an online aggregation method for improving the efficiency of conformal prediction intervals for time series. PID-Expert combines thresholds from a fixed library of PID calibrators, each evolving under its own coverage feedback. Aggregation weights depend on normalized interval width…