One approach to do conformal prediction in regression is to use quantile regression (pinball loss). One annoying thing about quantile regression is that if you estimate multiple quantiles, they could cross (and they really shoudn't). This paper proposes a method that prevents crossing (there are other papers that do so too), in particular for conformal prediction.

https://arxiv.org/abs/2210.10161v1

#MachineLearning #ConformalPrediction #QuantileRegression