Single-sided conformal prediction interval from conformalizer

Usage

conformal_PI_unilat(
  Q_pred,
  unilat_conformalizer,
  return_format = c("upper_limit", "interval", "text"),
  ymin = c(-Inf),
  coverage_proba = NULL,
  coverage_alpha = NULL
)

Arguments

Q_pred: Vector of extreme quantile regression predictions for the test data (same length as the number of test points).
unilat_conformalizer: Either a conformalizer object obtained from conformalize_EQR_unilat(), or, directly, the conformal correction to be added to the extreme quantile regression predictions. In the latter case, either a single conformal correction value or a vector of conformal corrections of the same length as Q_pred is expected.
return_format: Format of the returned prediction interval. Either 'upper_limit' for a numerical vector of upper PI limits (default), 'interval' for a data frame with columns of lower and upper PI limits, or 'text' for a single string description of the PI (only available for single predictions).
ymin: Lower endpoint for the response distribution (if known). Can be a single value (marginal lower endpoint) or a vector of the same length as Q_pred (conditional lower endpoint). Default is -Inf.
coverage_proba, coverage_alpha: (Optional) Marginal coverage probability (or level alpha) for the conformal prediction interval. Only one of coverage_proba or coverage_alpha must be provided, as coverage_alpha = 1 - coverage_proba. Only used for certain return_format options.

Value

Depending on the return_format argument, either a numerical vector of upper prediction interval (PI) limits, a data frame with lower and upper PI limits as columns (and optionally coverage probability and alpha), or a single string description of the PI (for single predictions only).

Examples

conformal_PI_unilat(Q_pred=c(10,12), unilat_conformalizer=0.3, return_format='upper_limit')
#> [1] 10.3 12.3