Features request - Conformal Prediction

Problem: XGBoost is a great library, but it currently lacks reliable modern uncertainty quantification that is rather easy to implement using conformal prediction. https://github.com/valeman/awesome-conformal-prediction

Feature request - add conformal prediction for regression and classification similar to what other libraries like MAPIE implemented.

Regression - Inductive (split) and Conformalized Quantile Regression https://mapie.readthedocs.io/en/stable/examples_regression/4-tutorials/plot_cqr_tutorial.html

Classification - Venn Abers

https://proceedings.neurips.cc/paper/2015/file/a9a1d5317a33ae8cef33961c34144f84-Paper.pdf

There is also talk by Vovk https://m.youtube.com/watch?v=ksrUJdb2tA8&pp=ygUNVm92ayB2bGFkaW1pcg%3D%3D

Tutorial https://cml.rhul.ac.uk/copa2017/presentations/VennTutorialCOPA2017.pdf

https://github.com/ip200/venn-abers implementation by Ivan Petej

Older implementation by Paolo Tocacceli

https://github.com/ptocca/VennABERS

Venn ABERS demo https://github.com/ptocca/VennABERS-demo