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kemalandClaude Opus 5
2b2a3b7741
Three changes to ForecastHead and the conformal calibrator, each measured walk-forward on real data over seven train splits. Hedge normalised its losses by the current sample's worst loss, so on a quiet step where every member agreed to within 0.01 C whichever happened to be worst still took the full exp(-eta) penalty, exactly as if it had been wrong by 5 C. The regret bound assumes a fixed loss range, not a per-sample one, and the symptom was weights that jumped around with no relation to horizon. Normalising by the running member MAE instead is worth 1.81% of MAE, better on 106 of 126 heads, coverage unchanged. The residual handed to the conformal calibrator was computed after this sample's loss had already moved the weights, so it was better than anything the forecaster could produce and the intervals were calibrated about 2% too narrow. Coverage survived only because ACI notices the extra misses and reopens the band, a correction that should never have been needed. Scoring the blend with the pre-update weights leaves MAE untouched, as it must, and widens the intervals 2% to the honest width. The conformal quantile refused to produce a band below 20 scores. That number is arbitrary: the (1-alpha) empirical quantile is the ceil((k+1)(1-alpha))-th of k order statistics, so alpha = 0.10 needs 9. The 20 became actively harmful in the previous commit but one, because striding pairs by the horizon leaves a long-horizon head about 13 scores per refit. Twelve of eighteen heads therefore fell through to 1.645*sigma with sigma from an unconstrained x'Px, giving bands of +/- 45 C and +/- 115% relative humidity on a young station. Those cover, by being absurd, which is why the backtest never flagged them: a long walk-forward passes 20 scores early and never looks back. After the change all eighteen heads have a band from the first fit, +/- 3.1 C and +/- 7.7% in the same place. Also measured and deliberately not done: adding the Kalman level variance to the predictive spread. It moves sigma by 0.06% at the shortest horizon and 0.00% everywhere else, so the plumbing to carry it through three files buys nothing. Co-Authored-By: Claude Opus 5 <[email protected]>