Uncertainty Quantification and Why You Should Care

How to improve your ML model with three lines of code

Turning a point prediction into a prediction region to quantify the model’s uncertainty to give us more information (Image by the author).

Prediction models are trained to predict well and give us point forecasts.

Let’s assume we want to buy a house. Before we do so, we want to verify that the advertised price of 400,000 € is reasonable. For this, we use a model that, based on the …

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