nonconformist_interval.py

from nonconformist.cp import IcpRegressor
from nonconformist.cp import IcpClassifier
from nonconformist.nc import NcFactory
import lightgbm as lgbm
# Create the underlying model
model = lgbm.LGBMRegressor()
# Default nonconformity measure
nc = NcFactory.create_nc(model)
# Inductive conformal regressor
icp = IcpRegressor(nc)
# Fit the ICP using the proper training set
icp.fit(x_train, y_train)
# Calibrate the ICP using the calibration set
icp.calibrate(x_cal, y_cal)
# Desired coverage
confidence = 0.8
# Produce predictions for the test set
prediction = icp.predict(x_test, significance=(1-confidence))
lower_b = prediction[:, 0]
upper_b = prediction[:, 1]