Awesome
An introduction to conformal prediction
Slides of presentation: Conformal prediction
Video of the presentation: Leveraging conformal prediction for calibrated probabilistic time series forecasts - Inge van den Ende, PyData Eindhoven 2023
Workshop summary in a blog post
Workshop description
During the workshop we will apply conformal prediction:
- Add a prediction interval to a point forecast
- Calibrate a probabilistic forecast (conformalized quantile regression)
Open the notebooks in the workshop folder to make the assignment. You can find the full code in the
notebooks in the solutions folder. Both notebooks show how implement that step in the crepes
package, the MAPIE
package and manually by yourself.
Requirements
Python >= 3.10 and experience with making a regression forecast. In the workshop we take a LightGBM model as an example to make a forecast, but this model is not explained in the workshop.
Usage
- Clone the repository
- Install requirements with
pip install -r requirements.txt
- Start jupyter lab and navigate to the workshop folder
- Open the first workshop notebook
Video record
Re-watch this YouTube stream
Credits
This workshop was set up by @pyladiesams and @ingevandenende.