I know it has been under works sometime and there are a lot of new models being implemented in neuralforeacast at the moment (which is great), would be great to have Conformal Prediction in NeuralForecast, a lot of customers are asking for quality prediction intervals for DL models.

Hi Valeriy, I noticed the work cited in mlforecast https://github.com/Nixtla/mlforecast/pull/86 is referring to https://proceedings.neurips.cc/paper/2021/hash/312f1ba2a72318edaaa995a67835fad5-Abstract.html Also noticed that you open an issue https://github.com/Nixtla/neuralforecast/issues/995 Would be great if you can add more info/suggestion to the ticket. Perhaps any other interested developer could help to contribute (said it will be sufficient that the implementation can follow the work done for mlforecast)

Hi @Jing Qiang Goh yes it is available in statsforecast and mlforecast, it would be great ot have it in neuralforecast as well