Neural Network Prediction Interval
One approach is caliculate residual for the validation set, it will be having a distribution, calculate mean, variance of the residual distribution and if you are looking for 95% add +,- 2sigma to your prediction and that should be your prediction interval.
I created a neural network in Python for a regression problem. I would like to have a prediction intervals for each value. How would I go about approaching this since neural networks are nonlinear?