Evaluating prediction intervals with empirical coverage and width
Prediction intervals aim to contain future individual observations, while confidence intervals target a mean or other parameter, and the two are not interchangeable. Empirical coverage is the held-out fraction inside the interval and width is the distance between quantile limits; a constructed five-value example gives 80 percent coverage and mean width 1.8.
prediction interval / confidence interval / quantile regression / empirical coverage / interval width / scikit-learn / calibration / held-out evaluation