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I am computing confidence intervals for random forests using the package available here: http://contrib.scikit-learn.org/forest-confidence-interval/auto_examples/plot_mpg.html#sphx-glr-auto-examples-plot-mpg-py

I want to plot the average MPG and associated confidence interval. I can compute the average MPG but how do I compute the associated confidence interval?

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In the link that you post there is a portion that describes how to compute and plot errorbars. These bars are the confidence intervals. If you prefer to have this plotted as bands you could follow this example

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