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 competence: the best machine learning idea you never heard of:

The essential idea is that a â€śconformity functionâ€ť 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 wonâ€™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

đźŹ— Is this a superset of Gaussian process regression?