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Uncertainty quantification

Using machine learning to make predictions, with a measure of the confidence of those predictions.

Gaussian process tricks

Gaussian processes have this sort of baked in.

Conformal prediction

Predicting with confidence: the best machine learning idea you never heard of:

The essential idea is that a “conformity function” exists. Effectively you are constructing a sort of multivariate cumulative distribution function for your machine learning gizmo using the conformity function. Such CDFs exist for classical stuff like ARIMA and linear regression under the correct circumstances; CP brings the idea to machine learning in general, and to models like ARIMA when the standard parametric confidence intervals won’t work. Within the framework, the conformity function, whatever may be, when used correctly can be guaranteed to give confidence intervals to within a probabilistic tolerance

TODO: Is this a superset of Gaussian process regression?