Add Sequential Predictive Conformal Inference (SPCI) method for Time Series

[Kevin-Chen0]

Description

Please include a summary of the change and which issue is fixed. Please also include relevant motivation and context. List any dependencies that are required for this change.

Fixes #370

Type of change

Please remove options that are irrelevant.

• Bug fix (non-breaking change which fixes an issue)
• New feature (non-breaking change which adds functionality)
• Breaking change (fix or feature that would cause existing functionality to not work as expected)
• This change requires a documentation update

How Has This Been Tested?

Please describe the tests that you ran to verify your changes. Provide instructions so we can reproduce. Please also list any relevant details for your test configuration

• Test A
• Test B

Checklist

• I have read the contributing guidelines
• I have updated the HISTORY.rst and AUTHORS.rst files
• Linting passes successfully : make lint
• Typing passes successfully : make type-check
• Unit tests pass successfully : make tests
• Coverage is 100% : make coverage
• Documentation builds successfully : make doc

[LacombeLouis]

Hey @Kevin-Chen0,
Note that I would fork from the following branch: 334-adaptive-conformal-predictions-for-time-series.
Looking forward to see your PR!

[Kevin-Chen0]

Hey @Kevin-Chen0, Note that I would fork from the following branch: 334-adaptive-conformal-predictions-for-time-series. Looking forward to see your PR!

Hi @LacombeLouis I have just merged the latest scikit-learn-contrib:334-adaptive-conformal-predictions-for-time-series branch into Tempor-ai:370-sequential-predictive-conformal-inference-for-time-series. So SCPI will adhere to the ACI structure. Please lmk if you see anything else. Thx!

[codecov-commenter]

Codecov Report

All modified and coverable lines are covered by tests ✅

Comparison is base (614293e) 100.00% compared to head (c458e17) 100.00%.
Report is 10 commits behind head on master.

Additional details and impacted files

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  Coverage   100.00%   100.00%            
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  Files           39        39            
  Lines         4616      4735   +119     
  Branches       487       780   +293     
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+ Hits          4616      4735   +119     

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[Kevin-Chen0]

Hi @thibaultcordier, my friend @grgstock will tackle this SPCI PR moving forward. What is the best way for him to reach out to you and your team in case he has specific questions about the existing MAPIE code base?

[thibaultcordier]

Hi @thibaultcordier, my friend @grgstock will tackle this SPCI PR moving forward. What is the best way for him to reach out to you and your team in case he has specific questions about the existing MAPIE code base?

Hi @Kevin-Chen0, @grgstock, the best way for him to contact our team is to contact us directly via email (see the AUTHORS.rst file) and in PR conversation. We will take the time to definitively integrate your PR into the MAPIE code by agreeing on the structure of the code to keep.