conformalbayes

Provides functions to construct finite-sample calibrated predictive intervals for Bayesian models, following the approach in Barber et al. (2021) doi:10.1214/20-AOS1965. These intervals are calculated efficiently using importance sampling for the leave-one-out residuals. By default, the intervals will also reflect the relative uncertainty in the Bayesian model, using the locally-weighted conformal methods of Lei et al. (2018) doi:10.1080/01621459.2017.1307116.