I test the following code:
TFP Probabilistic Layers: Regression
In "Custom PSD Kernel" section, I got yhat as the prediction for the test data.
My purpose is to have a confidence interval for this prediction. If I want to calculate the variance or quantile for this prediction with the variance and quantile methods, respectively, I will get the following error:
- NotImplementedError: variance is not implemented: TransformedDistribution
- NotImplementedError: quantile is not implemented: Independent
Therefore my question is:
How can I obtain the confidence interval for this prediction?
I need something like the following picture [Confidence Interval for the prediction (yhat.mean())]:
Thanks for your help!