Support for prediction bands?

[mnarayan]

Hello,

I couldn't figure out from checking the code and limited documentation if there is support for providing prediction intervals or bands around future predictions. For instance, as in
https://rss.onlinelibrary.wiley.com/doi/abs/10.1111/rssb.12021
https://amstat.tandfonline.com/doi/abs/10.1080/01621459.2017.1307116 or in related work.

It looks like only p-values are supported as in https://github.com/donlnz/nonconformist/blob/master/nonconformist/icp.py#L358.

Would you be open to PRs that provide prediction intervals, empirical coverage probabilities as well?

Thanks,

[donlnz]

I agree that my documentation is a bit unclear here, but IcpRegressor does indeed produce prediction intervals, i.e., for each test object, we will receive a lower bound and an upper bound for the prediction value (given that we have supplied the predict()-method with a significance level).