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I have question that refers to both xgbar(forecastxgb package) and forecast function (forecast package). Usually, when I use object of class forecast I get both point prediction as well as confidence intervals, but not in this case:

model <- xgbar(train, seas_method = "fourier", maxlag=200, K = max(1, min(round(f/4 - 1), 10)))

fit_xgb <- forecast(model, h = weeks_predicted)

fit_xgb produces only point forecasts. Could you please let me know how can I get confidence intervals for forecast by xgboost method?

M_D
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1 Answers1

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Are the npaths, PI, and simulate arguments available when you are forecasting with an xgbar object? I'm not familiar with that package; however, I am thinking that simulation will be your solution here.

Perhaps the section on prediction intervals from this text for Neural Nets will help you as the nnetar function uses simulation for confidence intervals. https://otexts.org/fpp2/nnetar.html

Brandon Michaels
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