Features request - Conformal Prediction
Problem: CatBoost is a great library, but it currently lacks reliable modern uncertainty quantification that is rather easy to implement using conformal prediction. https://github.com/valeman/awesome-conformal-prediction
Feature request - add conformal prediction for regression and classification similar to what other libraries like MAPIE implemented.
Regression - Inductive (split) and Conformalized Quantile Regression https://mapie.readthedocs.io/en/stable/examples_regression/4-tutorials/plot_cqr_tutorial.html
Classification - Venn Abers
https://proceedings.neurips.cc/paper/2015/file/a9a1d5317a33ae8cef33961c34144f84-Paper.pdf
There is also talk by Vovk at Yandex https://m.youtube.com/watch?v=ksrUJdb2tA8&pp=ygUNVm92ayB2bGFkaW1pcg%3D%3D
Tutorial https://cml.rhul.ac.uk/copa2017/presentations/VennTutorialCOPA2017.pdf
https://github.com/ip200/venn-abers implementation by Ivan Petej
Older implementation by Paolo Tocacceli
https://github.com/ptocca/VennABERS
Venn ABERS demo https://github.com/ptocca/VennABERS-demo
Source: catboost/catboost