[scikit-learn] Confidence Estimation for Regressor Predictions

[Daniel Seeliger]

Dear all,

For classifiers I make use of the predict_proba method to compute a Gini coefficient or entropy to get an estimate of how "sure" the model is about an individual prediction.

Is there anything similar I could use for regression models? I guess for a RandomForest I could simply use the indiviual predictions of each tree in clf.estimators_ and compute a standard deviation but I guess this is not a generic approach I can use for other regressors like the GradientBoostingRegressor or a SVR.

Thanks a lot for your help,
Daniel