Conformal Predictions

[dennisbader]

Conformal predictions could be a valuable addition to darts. It would require some brain storming/planning of how (or if) we can integrate this into our API / extend the API.

Some links:

• https://valeman.medium.com/probabilistic-forecasting-with-conformal-prediction-and-neuralprophet-af9c87901d94
• https://towardsdatascience.com/time-series-forecasting-with-conformal-prediction-intervals-scikit-learn-is-all-you-need-4b68143a027a

[jlopezpena]

Perhaps Darts could leverage MAPIE for implementing conformal inference?

[lsorber]

For those interested, Conformal Tights is a Python package that adds conformal prediction to Darts: https://github.com/radix-ai/conformal-tights