Conformal Prediction, Machine Learning, Uncertainty, Forecasting, Open Source.
sigma_knn(X=X_cal, residuals=residuals_cal, X_test=X_test) intervals_norm = cr_norm.predict(y_hat=y_hat_test, sigmas=sigmas_test) Steps 1–4 are all it takes to compute predictive intervals that are tailored for each test point. To fit a Conformal Predictive System outputting complete CFD for each