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feat: add conformal Bayesian prediction #14

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merged 5 commits into from
Feb 25, 2024
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@lsorber lsorber commented Feb 24, 2024

Adds asymmetric conformal Bayesian prediction for both classification and regression.

Details:

  • Asymmetric means we estimate the positive and negative residual quantiles separately.
  • Bayesian means the nonconformity measure is that of Gaussian Processes.
  • To construct the confidence interval we apply linear quantile regression on the leave-one-out residuals given the leave-one-out nonconformity measures.

@lsorber lsorber self-assigned this Feb 24, 2024
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lsorber commented Feb 25, 2024

Test set performance on the Ames housing dataset:

@lsorber lsorber merged commit a814e01 into main Feb 25, 2024
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@lsorber lsorber deleted the ls-conformal-bayesian branch February 25, 2024 15:09
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