Adaptive Conformal Predictions for Time Series

[thibaultcordier]

Is your feature request related to a problem? Please describe.
The actual method in time series regression is too restrictive (plasticity/stability imbalance - here too stable - and poor coupling between adaptability/calibration).

Describe the solution you'd like
Adaptive Conformal Predictions (ACI) is a good procedure for time series with general dependency.

Additional context
Zaffran, M., Féron, O., Goude, Y., Josse, J., & Dieuleveut, A. (2022, June). Adaptive conformal predictions for time series. In International Conference on Machine Learning (pp. 25834-25866). PMLR.