Demystifying EnbPI: Mastering Conformal Prediction Forecasting

“In my article ‘Conformal Prediction Forecasting with MAPIE,’ we explored how Conformal Prediction enables us to construct powerful probabilistic forecasting models. Unlike other probabilistic forecasting methods, Conformal Prediction forecasting models can generate prediction intervals encapsulating ground truth values at user-determined coverage levels. In this article, we will dive deep into the mechanics of EnbPI under the hood.