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I've trained a continuous variable using H2O AutoML, and selected the best model to predict on a new dataset. Besides the point estimation, I would like to obtain a prediction interval. In H2O documentation, there is no option to include prediction interval in AutoML. I was wondering if there is an additional package or a manual approach I can follow to construct the prediction interval of the best model in the leaderboard.

Lisseth
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  • I opened a ticket [here](https://h2oai.atlassian.net/browse/PUBDEV-8068) to add support in H2O, but I am also curious if someone can provide code to do this manually. – Erin LeDell Mar 21 '21 at 19:49

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