All You Need Is Conformal Prediction

An important but easy-to-use tool for uncertainty quantification every data scientist should know.

Turning a point prediction into a prediction region using Conformal Prediction to give us more information abouts the model’s uncertainty (Image by the author).

We must know how certain a model is when it makes predictions as there is a risk associated with wrong predictions. Without quantifying the model’s uncertainty, an accurate prediction and a wild guess look the same. For example, a…