Add Covariate Shift Conformal Regressor

[RudrakshTuwani]

Description

Add covariate shift conformal method (https://arxiv.org/abs/1904.06019) to MAPIE for regression.

Fixes #72

Type of change

Please remove options that are irrelevant.

• New feature (non-breaking change which adds functionality)
• This change requires a documentation update

How Has This Been Tested?

Reproducing the results of the original paper.

Checklist

• [x] I have read the contributing guidelines
• [ ] I have updated the HISTORY.rst and AUTHORS.rst files
• [x] Linting passes successfully : make lint
• [ ] Typing passes successfully : make type-check
• [ ] Unit tests pass successfully : make tests
• [ ] Coverage is 100% : make coverage
• [ ] Documentation builds successfully : make doc

[RudrakshTuwani]

Hey @gmartinonQM, please let me know how to prioritize tasks and would really appreciate feedback. Thanks! :)

[gmartinonQM]

Thanks for the PR @RudrakshTuwani , for sure. Maybe we will take several days to discuss it internally. Stay tuned !

[vtaquet]

Hi @RudrakshTuwani , thank you very much for the PR ! The implementation and the notebook look really great. I am sorry for the delay of our feedback, we have been quite busy during the last past weeks. Before giving you a more thorough feedback by next week, just a few general comments :

• please move the class MapieCovShiftRegressor in a dedicated module (like covariate_shift_regression.py)
• please move your notebook in the notebooks/regression folder. An alternative is to create a notebook-like example from a .py script like in this example.

[RudrakshTuwani]

Hello @vtaquet , thank you for getting back to me! No worries about the delay! :)

[RudrakshTuwani]

Couldn't push to @vtaquet 's branch, so pulled the changes to the fork and re-opened PR. Still a WIP!

[RudrakshTuwani]

Thanks for the feedback! I will try to address the comments over the weekend. :)