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[ENH] Add probabilistic regressor with shrinking intervals#987

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arnavk23 wants to merge 7 commits intosktime:mainfrom
arnavk23:reducing-interval-regression
Open

[ENH] Add probabilistic regressor with shrinking intervals#987
arnavk23 wants to merge 7 commits intosktime:mainfrom
arnavk23:reducing-interval-regression

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Reference Issues/PRs

Towards #7

What does this implement/fix? Explain your changes.

This PR adds a new estimator, ReducingIntervalRegressor, to the probabilistic regression module.

  • The estimator produces prediction intervals that shrink as the training set size increases.
  • Supports two approaches: mean/standard deviation (Normal assumption) and empirical quantiles.
  • Implements both _predict_interval and _predict_quantiles for demonstration and flexibility.

Does your contribution introduce a new dependency? If yes, which one?

No new dependencies introduced.

What should a reviewer concentrate their feedback on?

Correctness and clarity of the interval and quantile logic.

Did you add any tests for the change?

The estimator is covered by the generic regression test suite.

Any other comments?

Thank you for reviewing! Feedback on API design and interval logic is welcome.

PR checklist

For all contributions
  • I've added myself to the list of contributors with any new badges I've earned :-)
  • The PR title starts with either [ENH], [MNT], [DOC], or [BUG].
For new estimators
  • I've added the estimator to the API reference - in docs/source/api_reference/regression.rst, follow the pattern.
  • I've added one or more illustrative usage examples to the docstring, in a pydocstyle compliant Examples section.
  • If the estimator relies on a soft dependency, I've set the python_dependencies tag and ensured dependency isolation.

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