[ENH] Plotting confidence intervals

Is your feature request related to a problem? Please describe. Plotting confidence intervalls with the current plot function from sktime.utils.plotting import plot_series is not well suitable in case all lines are very close, see picture.

Describe the solution you’d like Plot like this would be great, with the points as an option ideally. The function could just receive the DataFrame pred_int from y_pred, pred_int = model.predict(fh=fh, return_pred_int=True) as an input so this is already well structured and named.

[timcashion]

I’d love to take this on!

[aiwalter]

@aiexplorations

1. We would have to fit multiple models because most models can only return CIs for a single alpha value. But actually it could work to accept also a list like alpha = [0.95, 0.9, 0.5] and loop 3 times over _fit() and predict().
2. I think this would change the API because currently predict() is returning a pd.Series and no pd.DataFrame. A better solution could be to return the prediction also when doing predict(return_pred_int=True). Or you can just merge the results of predict() and predict(return_pred_int=True)?

@fkiraly thanks for mentioning, I think for now I will rather continue with contributing to sktime 😃