[BUG] Support dynamic exogenous features in transfer intervals - #722
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janrth wants to merge 3 commits into
Open
[BUG] Support dynamic exogenous features in transfer intervals#722janrth wants to merge 3 commits into
janrth wants to merge 3 commits into
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janrth
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August 21, 2026 20:11
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Summary
Fixes #721.
Transfer conformal prediction could not handle dynamic exogenous inputs consistently:
recalibrateanderror_scaledrun a frozen target-domain backtest, but its nested predictions did not receive the validation fold's future dynamic inputs.weighted_conformalandscale_aligned_weightedpreprocess target history for density-ratio estimation, but did not preserve the source model's fitted static/dynamic feature configuration.This PR keeps the fix local to transfer-conformal internals:
_frozen_backtestresolves dynamic model-input columns from the fitted feature schema once, then passes each validation fold's values asX_dfto its nested prediction.id_col,time_col,target_col, andstatic_featuresconfiguration.Ordinary
predict()and ordinarycross_validation()behavior are unchanged.Behavior
All five transfer methods now work with dynamic exogenous features:
recalibrateerror_scaledscale_alignedweighted_conformalscale_aligned_weightedThe added regression test uses a deterministic linear system with a dynamic input and verifies that every method creates interval columns while leaving point forecasts identical to the plain forecast.