MLForecast+Prediction Intervals+Transfer Learning

[saad1912]

What happened + What you expected to happen

I am trying to predict target components over prediction intervals using Transfer Learning approach. But I am getting below error:

---

ValueError Traceback (most recent call last)
in <cell line: 2>()
1 levels = [20, 75,80, 95]
----> 2 forecasts = mlf.predict(7, level=levels, new_df=df3)
3 forecasts.head()

/usr/local/lib/python3.10/dist-packages/mlforecast/forecast.py in predict(self, h, before_predict_callback, after_predict_callback, new_df, level, X_df, ids)
706 if new_df is not None:
707 if level is not None:
--> 708 raise ValueError(
709 "Prediction intervals are not supported in transfer learning."
710 )

ValueError: Prediction intervals are not supported in transfer learning.

Versions / Dependencies

import mlforecast
print(mlforecast.version)

0.15.0

Reproduction script

Y_df_M3, _, _ = M3.load(directory='./', group='Monthly')
models = [lgb.LGBMRegressor(verbosity=-1)]

fcst = MLForecast(
models=models,
lags=range(1, 13),
freq='MS',
target_transforms=[Differences([1, 12])],
)
fcst.fit(Y_df_M3);
Y_df = pd.read_csv('https://datasets-nixtla.s3.amazonaws.com/air-passengers.csv', parse_dates=['ds'])

We define the train df.

Y_train_df = Y_df[Y_df.ds<='1959-12-31'] # 132 train
Y_test_df = Y_df[Y_df.ds>'1959-12-31'] # 12 test

levels = [50, 80, 95]
Y_hat_df = fcst.predict(h=12, level = levels, new_df=Y_train_df)
Y_hat_df.head()

---

ValueError Traceback (most recent call last)
in <cell line: 2>()
1 levels = [50, 80, 95]
----> 2 Y_hat_df = fcst.predict(h=12, level = levels, new_df=Y_train_df)
3 Y_hat_df.head()

/usr/local/lib/python3.10/dist-packages/mlforecast/forecast.py in predict(self, h, before_predict_callback, after_predict_callback, new_df, level, X_df, ids)
706 if new_df is not None:
707 if level is not None:
--> 708 raise ValueError(
709 "Prediction intervals are not supported in transfer learning."
710 )

ValueError: Prediction intervals are not supported in transfer learning.

Issue Severity

High: It blocks me from completing my task.