Multi-horizon Probabilistic Forecasting with Conformal Prediction and NeuralProphet

Valeriy Manokhin, PhD, MBA, CQF
6 min readJan 21, 2023

In my previous articles Benchmarking Neural Prophet. Part I — Neural Prophet vs Facebook Prophet” and “Benchmarking Neural Prophet. Part II — exploring electricity dataset”, we have looked at NeuralProphet and evaluated whether it delivers performance improvements vis-a-vis Facebook Prophet (TLDR; yes) and whether it generally delivers good point forecasting performance (TLDR; yes).

NeuralProphet is a much better model for point forecasting as it has addressed the principal issue of its…

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Valeriy Manokhin, PhD, MBA, CQF

Principal Data Scientist, PhD in Machine Learning, creator of Awesome Conformal Prediction 👍Tip: hold down the Clap icon for up x50