Conformal Quantile Regression

[saattrupdan]

Conformal Quantile Regression was introduced in Romano, Patterson & Candès and is a variant of quantile regression which calibrates the prediction intervals, yielding narrower intervals, while preserving theoretical coverage guarantees.

This could potentially be built into QuantileLinearRegression via a conformal argument.

[valeman]

Dan, you might be interested in this link

https://github.com/valeman/awesome-conformal-prediction