🚀 Version 2.2.1 out now! Read the release notes here..

skpro is a library for supervised probabilistic prediction in python. It provides scikit-learn-like, scikit-base compatible interfaces to:

• tabular supervised regressors for probabilistic prediction - interval, quantile and distribution predictions
• tabular probabilistic time-to-event and survival prediction - instance-individual survival distributions
• metrics to evaluate probabilistic predictions, e.g., pinball loss, empirical coverage, CRPS, survival losses
• reductions to turn scikit-learn regressors into probabilistic skpro regressors, such as bootstrap or conformal
• building pipelines and composite models, including tuning via probabilistic performance metrics
• symbolic probability distributions with value domain of pandas.DataFrame-s and pandas-like interface

Overview
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Community
CI/CD
Code
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Questions and feedback are extremely welcome! We strongly believe in the value of sharing help publicly, as it allows a wider audience to benefit from it.

skpro is maintained by the sktime community, we use the same social channels.

Our objective is to enhance the interoperability and usability of the AI model ecosystem:

• skpro is compatible with scikit-learn and sktime, e.g., an sktime proba forecaster can be built with an skpro proba regressor which in an sklearn regressor with proba mode added by skpro

• skpro provides a mini-package management framework for first-party implemenentations, and for interfacing popular second- and third-party components, such as cyclic-boosting or MAPIE packages.

skpro curates libraries of components of the following types:

To install skpro, use pip:

pip install skpro

or, with maximum dependencies,

pip install skpro[all_extras]

Releases are available as source packages and binary wheels. You can see all available wheels here.

from sklearn.datasets import load_diabetes
from sklearn.ensemble import RandomForestRegressor
from sklearn.linear_model import LinearRegression
from sklearn.model_selection import train_test_split

from skpro.regression.residual import ResidualDouble

# step 1: data specification
X, y = load_diabetes(return_X_y=True, as_frame=True)
X_train, X_new, y_train, _ = train_test_split(X, y)

# step 2: specifying the regressor - any compatible regressor is valid!
# example - "squaring residuals" regressor
# random forest for mean prediction
# linear regression for variance prediction
reg_mean = RandomForestRegressor()
reg_resid = LinearRegression()
reg_proba = ResidualDouble(reg_mean, reg_resid)

# step 3: fitting the model to training data
reg_proba.fit(X_train, y_train)

# step 4: predicting labels on new data

# probabilistic prediction modes - pick any or multiple

# full distribution prediction
y_pred_proba = reg_proba.predict_proba(X_new)

# interval prediction
y_pred_interval = reg_proba.predict_interval(X_new, coverage=0.9)

# quantile prediction
y_pred_quantiles = reg_proba.predict_quantiles(X_new, alpha=[0.05, 0.5, 0.95])

# variance prediction
y_pred_var = reg_proba.predict_var(X_new)

# mean prediction is same as "classical" sklearn predict, also available
y_pred_mean = reg_proba.predict(X_new)

# step 5: specifying evaluation metric
from skpro.metrics import CRPS

metric = CRPS()  # continuous rank probability score - any skpro metric works!

# step 6: evaluat metric, compare predictions to actuals
metric(y_test, y_pred_proba)
>>> 32.19

There are many ways to get involved with development of skpro, which is developed by the sktime community. We follow the all-contributors specification: all kinds of contributions are welcome - not just code.

To cite skpro in a scientific publication, see citations.