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thibaultcordier / MAPIE

A scikit-learn-compatible module for estimating prediction intervals.
https://mapie.readthedocs.io/en/latest/
BSD 3-Clause "New" or "Revised" License
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ENH: Add the split strategy to regression class #3

Closed thibaultcordier closed 1 year ago

thibaultcordier commented 1 year ago

Is your feature request related to a problem? Please describe. To make split conformal predictions, you have to pre-train a model on X_train, then use the fit method with the cv=prefit parameter with MapieRegressor on X_calib.

Describe the solution you'd like Propose to do it automatically when using the fit method with the cv=1 parameter on X = X_train U X_calib.

thibaultcordier commented 1 year ago

Pull Request done in scikit-learn/MAPIE:main branch.