Software

Several packages are listed at the end of Scott Locklin's blog entry on conformal prediction. Henrik Linusson has written a Python package called "Nonconformist". An R package called conformalInference is maintained by Ryan Tibshirani (see Lei et al., 2017).

References

• Lei, J., G'Sell, M., Rinaldo, A., Tibshirani, R. J., and Wasserman, L. (2017). Distribution-free predictive inference for regression. Journal of the American Statistical Association, to appear.