Open ghost opened 6 years ago
I agree that it seems reasonable to provide functionality to produce prediction intervals from a model trained outside of nonconformist, but I'm not sure this is the 'nicest' way. Ideally, in situations like this, I would recommend creating a custom ModelAdapter (inheriting from, e.g., nonconformist.base.RegressorAdapter). Would that be a possible alternative in your use case?
Users may have predictions generated from different fitted underlying models in different languages and just want to get the prediction interval. This change allows user to set underlying model = None but using y_hat (prediction value) to get the result. Only regression part is done in this commit for my work purpose. Will enhance classification part as well later.