sktime: [BUG] bug in `NaiveForecaster` variance formulae?
From https://github.com/alan-turing-institute/sktime/pull/3435/files which I’ve merged and only now noticed potential issues in the formula for predict_var.
The main issue (which I missed on first read) was that I think we need rolling forecasts, no?
- should the
meanstrategy not have rolling mean predictions used, instead of the single prediction at thecutoff? So,y.rolling(window_length).meaninstead of y_pred? With an appropriate shift perfh? lastseems correct only forfhindices that are smaller or equal tosp.- the
slopestrategy should usewindow_lengthinstead ofT, and also do this on rolling basis?
FYI @topher-lo
About this issue
- Original URL
- State: open
- Created 2 years ago
- Comments: 32 (15 by maintainers)
Hm. Is it documented somewhere what the R code assumes?
The answer might be simple, there is a bug in both pieces of code? We could ask one of its authors.
Either way, I also think we ought to write up somehwere what the methods do, or at least, what we think it should do. I feel the above discussion has made clear that a reference to a section of Hyndman is not precise enough, since there are too many gaps to fill in.
Not right now (have to get to work), but the forecasting meet-up and the collab session will take place (see schedule in slack general channel), I’ll try to make it. If that doesn’t work, we can try later on the day.