Multi-Horizon Probabilistic Ensemble with Copulas for Time Series Forecasting

Trains per-horizon probabilistic ensembles from a univariate time series. It supports 'rpart', 'glmnet', and 'kNN' engines with flexible residual distributions and heteroscedastic scale models, weighting variants by calibration-aware scores. A Gaussian/t copula couples the marginals to simulate joint forecast paths, returning quantiles, means, and step increments across horizons.