[Feature Request]: Conformal CDFs

[galenseilis]

I'm excited by the prospect of uncertainty quantification via conformal prediction that has been implemented. I noticed that it can do quantiles and prediction intervals in the current state. Would it be possible to get conformal prediction cumulative distribution functions?

An example package that does this is crepes.

[elephaint]

At this point we don't have that implemented, but it might be something that we implement later on. For now, to create (i)cdf's, you could increase the grid size of the levels used when forecasting with TimeGPT (similar as to what crepes suggests in case of a large calibration set)