Use deepcopy of model during the conformity score computation

Author: JQGoh

nbs/core.ipynb

@@ -551,7 +551,10 @@
     "            )\n",
     "            if prediction_intervals is not None:\n",
     "                self.prediction_intervals = prediction_intervals\n",
-    "                self._cs_df = self._conformity_scores(\n",
+    "\n",
+    "                # copy of model to prevent issue such as https://github.com/Nixtla/neuralforecast/issues/1232\n",
+    "                model_copy = deepcopy(self)\n",
+    "                self._cs_df = model_copy._conformity_scores(\n",
     "                    df=df,\n",
     "                    id_col=id_col,\n",
     "                    time_col=time_col,\n",

neuralforecast/core.py

@@ -493,7 +493,10 @@ def fit(
             )
             if prediction_intervals is not None:
                 self.prediction_intervals = prediction_intervals
-                self._cs_df = self._conformity_scores(
+
+                # copy of model to prevent issue such as https://github.com/Nixtla/neuralforecast/issues/1232
+                model_copy = deepcopy(self)
+                self._cs_df = model_copy._conformity_scores(
                     df=df,
                     id_col=id_col,
                     time_col=time_col,