MLJLinearModels.jl has a QuantileRegressor that (I presume) returns and interval. Section 2.2 outlines how Conformalize Quantile Regression can be implemented. Like with #32 I'm not sure how easy it is to simply adapt the score functions in order to then still be able to use all of the different approaches to conformalizing regression. Probably easier than #32 and would definitely be desirable in this case.
pat-alt
commented
6 months ago
MLJLinearModels.jlhas aQuantileRegressorthat (I presume) returns and interval. Section 2.2 outlines how Conformalize Quantile Regression can be implemented. Like with #32 I'm not sure how easy it is to simply adapt the score functions in order to then still be able to use all of the different approaches to conformalizing regression. Probably easier than #32 and would definitely be desirable in this case.