diff --git a/examples/cp_missing_data/cp_missing_data_example.py b/examples/cp_missing_data/cp_missing_data_example.py
new file mode 100644
index 00000000..407c3c9d
--- /dev/null
+++ b/examples/cp_missing_data/cp_missing_data_example.py
@@ -0,0 +1,47 @@
+"""Provides a detailed example of obtaining conformalised prediction intervals when there is missing data.
+
+This script demonstrates the complete workflow for obtaining conformal prediction intervals
+for the TabPFNRegressor when these are missing values in the dataset. The process is shown
+in two steps. Using the training data to train the model and obtain correction terms for
+each mask, and appying the corrcetion terms with the trained model to a new dataset.
+
+Note: This algorithm works well when the missing pattern is small.
+"""
+
+import numpy as np
+import pandas as pd
+import warnings
+
+from tabpfn_extensions.utils import TabPFNClassifier, TabPFNRegressor
+
+from tabpfn_extensions.cp_missing_data import CPMDATabPFNRegressor, CPMDATabPFNRegressorNewData
+
+# generate some data
+np.random.seed(42)  # For reproducibility
+X = np.random.rand(100, 2)
+Y = np.random.rand(100)
+
+# add missing values in X under MCAR
+X[np.random.randint(0, 100, 40), np.random.randint(0, 2, 40)] = np.nan
+
+# Check how many unique patterns there are 
+unique_patterns = pd.DataFrame(X).isnull().astype(int).drop_duplicates()
+print(f"Number of unique missing data patterns: {len(unique_patterns)}")
+print("\nUnique patterns:")
+print(unique_patterns)
+
+# Use TabPFN+CP-MDA
+model = CPMDATabPFNRegressor(quantiles=[0.05, 0.5, 0.95], val_size=0.5, seed = 123)
+calibration_results, model_fit = model.fit(X, Y)
+print(calibration_results)
+
+# Apply the model to new cases 
+cp_apply = CPMDATabPFNRegressorNewData(model_fit, quantiles=[0.05, 0.5, 0.95], calibration_results=calibration_results)
+CP_results = cp_apply.predict(X)
+
+print("\nConformal prediction results:")
+print(f"Lower bound (corrected): {CP_results[0][:5]}")  # Show first 5
+print(f"Predictions: {CP_results[1][:5]}")
+print(f"Upper bound (corrected): {CP_results[2][:5]}")
+print(f"Lower bound (uncorrected): {CP_results[3][:5]}")
+print(f"Upper bound (uncorrected): {CP_results[4][:5]}")
\ No newline at end of file
diff --git a/src/tabpfn_extensions/cp_missing_data/__init__.py b/src/tabpfn_extensions/cp_missing_data/__init__.py
new file mode 100644
index 00000000..2391856f
--- /dev/null
+++ b/src/tabpfn_extensions/cp_missing_data/__init__.py
@@ -0,0 +1,11 @@
+"""Conformal prediction for missing data module for tabpfn_extensions package."""
+
+from .cp_missing_data import (
+    CPMDATabPFNRegressor,
+    CPMDATabPFNRegressorNewData,
+)
+
+__all__ = [
+    "CPMDATabPFNRegressor",
+    "CPMDATabPFNRegressorNewData",
+]
diff --git a/src/tabpfn_extensions/cp_missing_data/cp_missing_data.py b/src/tabpfn_extensions/cp_missing_data/cp_missing_data.py
new file mode 100644
index 00000000..40aaf9f4
--- /dev/null
+++ b/src/tabpfn_extensions/cp_missing_data/cp_missing_data.py
@@ -0,0 +1,288 @@
+"""Conformal prediction for TabPFN with missing data patterns.
+
+This module provides conformal prediction intervals that are calibrated
+for different missing data patterns in the input features.
+"""
+
+from __future__ import annotations
+
+import warnings
+from typing import TYPE_CHECKING
+
+import numpy as np
+import pandas as pd
+from sklearn.model_selection import train_test_split
+
+from tabpfn_extensions.utils import TabPFNRegressor
+
+if TYPE_CHECKING:
+    from numpy.typing import ArrayLike
+
+
+class CPMDATabPFNRegressor:
+    """Compute the correction terms for missing data masks using conformal prediction.
+
+    Parameters:
+        quantiles : array with three arguments denoting the quantiles of interest.
+            The default is [0.05, 0.5, 0.95], where the first indicates the lower bound,
+            the second the median, and the third the upper bound.
+        val_size : float between 0 and 1, indicating the size of the validation set
+            as a fraction of the training data.
+
+    Returns:
+        mask_unique: DataFrame with the correction terms for each mask.
+        model: Fitted TabPFNRegressor model.
+    """
+
+    def __init__(
+        self, quantiles: list[float], val_size: float, seed: int | None = None
+    ) -> None:
+        self.quantiles = quantiles
+        self.val_size = val_size
+        self.alpha = quantiles[0] * 2
+        self.seed = seed
+
+    def calc_correction_term(
+        self,
+        predictions: tuple[np.ndarray, np.ndarray, np.ndarray],
+        y_val: pd.Series,
+        alpha: float,
+    ) -> float:
+        """Calculate the correction term for conformal prediction."""
+        # obtain the lowerbound, median, and upperbound
+        lb, pred, ub = predictions
+        # calculate difference between bounds and observed values
+        error_lb = lb - y_val
+        error_ub = y_val - ub
+        s = np.maximum(error_lb, error_ub)
+
+        # obtain the emperical quantile
+        Q_use = (1 - alpha) * (1 + 1 / len(s))
+
+        # Check is Q_use if not larger then 1
+        if Q_use > 1:
+            Q_use = 1
+            warnings.warn("Some masks have very small calibration sets", stacklevel=2)
+
+        correction_term = np.quantile(s, Q_use)
+        return correction_term
+
+    def split_data(
+        self, x: pd.DataFrame, y: np.ndarray
+    ) -> tuple[
+        pd.DataFrame, pd.DataFrame, pd.Series, pd.Series, pd.DataFrame, pd.DataFrame
+    ]:
+        """Split data into training and validation sets."""
+        # create df with missing data indicator
+        missing_bool_df = x.isna().astype(int)
+        x_train, x_val, y_train_arr, y_val_arr, mask_train, mask_val = train_test_split(
+            x, y, missing_bool_df, test_size=self.val_size, random_state=self.seed
+        )
+
+        # Convert y arrays back to pandas Series to maintain .iloc functionality
+        y_train = pd.Series(y_train_arr, index=x_train.index)
+        y_val = pd.Series(y_val_arr, index=x_val.index)
+
+        return x_train, x_val, y_train, y_val, mask_train, mask_val
+
+    def run_TABPFN(self, x_train: pd.DataFrame, y_train: pd.Series) -> TabPFNRegressor:
+        """Fit the TabPFN model."""
+        # fit model
+        model = TabPFNRegressor()
+        model.fit(x_train, y_train)
+        return model
+
+    def mask_preprocess(
+        self, mask_val: pd.DataFrame
+    ) -> tuple[pd.DataFrame, pd.DataFrame]:
+        """Preprocess masks and identify nested relationships."""
+        # drop duplicates masks
+        mask_unique = mask_val.drop_duplicates().copy()
+        # add mask id
+        mask_unique["mask_id"] = range(1, len(mask_unique) + 1)
+        # Get mask columns (all columns except mask_id)
+        mask_cols = [col for col in mask_unique.columns if col != "mask_id"]
+
+        # Check nesting for all pairs of masks
+        results = []
+        for i, row_a in mask_unique.iterrows():
+            mask_a = row_a[mask_cols].values
+            mask_a_id = row_a["mask_id"]
+            nested_masks = []
+
+            for j, row_b in mask_unique.iterrows():
+                if i == j:  # Skip comparing mask with itself
+                    continue
+                mask_b = row_b[mask_cols].values
+                mask_b_id = row_b["mask_id"]
+
+                if ((mask_b == 1) & (mask_a == 0)).sum() == 0:
+                    nested_masks.append(mask_b_id)
+
+            results.append({"mask_id": mask_a_id, "nested_masks": nested_masks})
+
+        mask_nested = pd.DataFrame(results)
+        return mask_unique, mask_nested
+
+    def create_calibration_sets(
+        self,
+        x_val: pd.DataFrame,
+        y_val: pd.Series,
+        mask_val: pd.DataFrame,
+        mask_unique: pd.DataFrame,
+        mask_nested: pd.DataFrame,
+        model: TabPFNRegressor,
+    ) -> tuple[pd.DataFrame, TabPFNRegressor]:
+        """Create calibration sets for each mask pattern."""
+        # obtain list of columns
+        mask_cols = list(mask_val.columns.values)
+
+        # Using merge to add the id of the mask
+        # use original index values
+        df_with_ids = mask_val.reset_index().merge(
+            mask_unique, on=mask_cols, how="left"
+        )
+
+        for i in mask_unique["mask_id"]:
+            # select the nested masks
+            nested_masks = mask_nested[mask_nested["mask_id"] == i][
+                "nested_masks"
+            ].values[0]
+
+            # add the mask itself
+            nested_masks_with_self = [*nested_masks, i]
+
+            # obtain indexes for the rows
+            indexes = df_with_ids[df_with_ids["mask_id"].isin(nested_masks_with_self)][
+                "index"
+            ]
+
+            # select the validation data based on the indices
+            x_val_nested = x_val.loc[indexes]
+            y_val_nested = y_val.loc[indexes]
+
+            # SET ENTIRE COLUMNS TO NaN WHERE THE MASK HAS MISSING VALUES
+            current_mask = mask_unique[mask_unique["mask_id"] == i][mask_cols].iloc[0]
+
+            # For each column where the mask indicates missing (value = 1), set entire column to NaN
+            for col_idx, col_name in enumerate(mask_cols):
+                if current_mask.iloc[col_idx] == 1:
+                    x_val_nested.loc[:, col_name] = np.nan
+
+            # obtain predictions
+            predictions = model.predict(
+                x_val_nested, output_type="quantiles", quantiles=self.quantiles
+            )
+
+            # calculate correction term
+            correction_term = self.calc_correction_term(
+                predictions, y_val_nested, self.alpha
+            )
+
+            # save the correction term to the mask_unique dataframe
+            mask_unique.loc[mask_unique["mask_id"] == i, "correction_term"] = (
+                correction_term
+            )
+            mask_unique.loc[mask_unique["mask_id"] == i, "val_size"] = (
+                x_val_nested.shape[0]
+            )
+
+        return mask_unique, model
+
+    def fit(
+        self, x_train: ArrayLike, y_train: ArrayLike
+    ) -> tuple[pd.DataFrame, TabPFNRegressor]:
+        """Convenience method to run the entire pipeline.
+
+        Parameters:
+            x_train : matrix-like of shape (n_samples, n_predictors)
+            y_train : array-like of continuous outcome with shape (n_samples,)
+        """
+        # Store and parse the data
+        x = pd.DataFrame(x_train)
+        y = y_train
+
+        # Run trough all the functions
+        x_train, x_val, y_train, y_val, mask_train, mask_val = self.split_data(x, y)
+        model = self.run_TABPFN(x_train, y_train)
+        mask_unique, mask_nested = self.mask_preprocess(mask_val)
+        mask_unique, model = self.create_calibration_sets(
+            x_val, y_val, mask_val, mask_unique, mask_nested, model
+        )
+
+        return mask_unique, model
+
+
+class CPMDATabPFNRegressorNewData:
+    """Compute the correction terms for missing data masks using conformal prediction.
+
+    Parameters:
+        tabpfn : Fitted TabPFNRegressor model.
+        quantiles : Array with three arguments denoting the quantiles of interest used
+            in fitting the model. The default is [0.05, 0.5, 0.95].
+        calibration_results : Matrix with the correction terms for each mask.
+    """
+
+    def __init__(
+        self,
+        tabpfn: TabPFNRegressor,
+        quantiles: list[float],
+        calibration_results: pd.DataFrame,
+    ) -> None:
+        self.tabpfn = tabpfn
+        self.quantiles = quantiles
+        self.calibration_results = calibration_results
+
+    def obtain_preds(self, x: pd.DataFrame) -> np.ndarray:
+        """Obtain predictions from fitted model."""
+        preds = self.tabpfn.predict(
+            x, output_type="quantiles", quantiles=self.quantiles
+        )
+        return preds
+
+    def match_mask(self, x: pd.DataFrame) -> pd.DataFrame:
+        """Add correction terms to the new masks from the test set."""
+        mask_test = x.isna().astype(int)
+        mask_cols = list(mask_test.columns.values)
+
+        mask_test_cor = mask_test.merge(
+            self.calibration_results, on=mask_cols, how="left"
+        )
+
+        # check if there are masks in the test set that are not in the calibration set
+        new_masks = mask_test_cor[mask_test_cor["correction_term"].isna()][mask_cols]
+
+        if new_masks.shape[0] > 0:
+            warnings.warn(
+                "The following masks are not in the calibration set:\n"
+                f"{new_masks.to_string()}\n"
+                "The baseline quantile estimates will be returned for those cases.",
+                stacklevel=2,
+            )
+
+        return mask_test_cor
+
+    def perform_correction(
+        self, preds: np.ndarray, mask_test_cor: pd.DataFrame
+    ) -> tuple[np.ndarray, np.ndarray, np.ndarray, np.ndarray, np.ndarray]:
+        """Apply correction terms to the prediction intervals."""
+        lb_corr = preds[0] - mask_test_cor["correction_term"].values
+        ub_corr = preds[2] + mask_test_cor["correction_term"].values
+
+        return lb_corr, preds[1], ub_corr, preds[0], preds[2]
+
+    def predict(
+        self, x_new: ArrayLike
+    ) -> tuple[np.ndarray, np.ndarray, np.ndarray, np.ndarray, np.ndarray]:
+        """Convenience method to run the entire pipeline.
+
+        Parameters:
+            x_new : matrix-like of shape (n_samples, n_predictors)
+        """
+        x = pd.DataFrame(x_new)
+
+        preds = self.obtain_preds(x)
+        mask_test_cor = self.match_mask(x)
+        cp_results = self.perform_correction(preds, mask_test_cor)
+
+        return cp_results
diff --git a/tests/test_cp_missing_data.py b/tests/test_cp_missing_data.py
new file mode 100644
index 00000000..0530cbc1
--- /dev/null
+++ b/tests/test_cp_missing_data.py
@@ -0,0 +1,126 @@
+"""Tests for the CP_missing_data extension.
+
+This file tests the CPMDATabPFNRegressor and CPMDATabPFNRegressorNewData functions,
+which attempts to obtain correct uncertainity estimates in case if missing data.
+"""
+
+from __future__ import annotations
+
+import numpy as np
+import pandas as pd
+import pytest
+from numpy.testing import assert_array_equal
+from sklearn.model_selection import train_test_split
+
+try:
+    from tabpfn_extensions.cp_missing_data import (
+        CPMDATabPFNRegressor,
+        CPMDATabPFNRegressorNewData,
+    )
+except ImportError:
+    pytest.skip("Required libraries (tabpfn) not installed", allow_module_level=True)
+
+
+# -------- Fixtures --------
+@pytest.fixture
+def X_train():
+    return np.array(
+        [
+            [0.1, np.nan],
+            [0.3, 0.4],
+            [np.nan, 0.6],
+            [0.7, 0.8],
+            [0.2, np.nan],
+            [0.2, np.nan],
+            [0.9, 0.4],
+            [np.nan, 0.4],
+            [0.3, 0.2],
+            [np.nan, 0.9],
+            [0.8, np.nan],
+            [0.1, 0.2],
+            [np.nan, 0.5],
+            [0.3, 0.7],
+            [0.7, np.nan],
+            [0.7, np.nan],
+            [0.3, 0.4],
+            [np.nan, 0.2],
+            [0.9, 0.7],
+            [np.nan, 0.3],
+            [0.3, 0.7],
+            [0.4, 0.8],
+            [0.5, 0.4],
+            [0.7, 0.2],
+            [0.8, 0.3],
+        ]
+    )
+
+
+@pytest.fixture
+def Y_train():
+    return np.array(
+        [1, 3, 1, 2, 3, 4, 5, 6, 1, 2, 3, 4, 5, 6, 7, 2, 3, 5, 6, 8, 4, 2, 1, 2, 3]
+    )
+
+
+@pytest.fixture
+def X_new():
+    return np.array(
+        [
+            [0.1, 0.1],
+            [0.3, np.nan],
+            [np.nan, 0.6],
+        ]
+    )
+
+
+@pytest.fixture
+def seed():
+    return 123
+
+
+# -- Test --
+def test_model_CP(X_train, Y_train, seed):
+    """Tests if the calibration corrections are of the correct shape and type."""
+    model = CPMDATabPFNRegressor(quantiles=[0.05, 0.5, 0.95], val_size=0.5, seed=seed)
+    calibration_results, model_fit = model.fit(X_train, Y_train)
+
+    # Replicate the split to get the validation set and find its unique masks.
+    _, X_val, _, _ = train_test_split(
+        X_train, Y_train, test_size=0.5, random_state=seed
+    )
+    missing_df = pd.DataFrame(X_val).isna().astype(int).drop_duplicates()
+
+    # check type, size of the calibration results
+    assert calibration_results.shape[0] == missing_df.shape[0]
+    assert calibration_results.shape[1] == 5
+    assert isinstance(calibration_results, pd.DataFrame)
+
+
+def test_reproducibility(X_train, Y_train, seed):
+    """Tests that random_state ensures deterministic correction terms."""
+    model_1 = CPMDATabPFNRegressor(quantiles=[0.05, 0.5, 0.95], val_size=0.5, seed=seed)
+    calibration_results_1, model_fit_1 = model_1.fit(X_train, Y_train)
+
+    # Second model with the same seed
+    model_2 = CPMDATabPFNRegressor(quantiles=[0.05, 0.5, 0.95], val_size=0.5, seed=seed)
+    calibration_results_2, model_fit_2 = model_2.fit(X_train, Y_train)
+
+    # Assert that the outputs are identical
+    assert_array_equal(calibration_results_1, calibration_results_2)
+
+
+def test_predict(X_train, Y_train, seed, X_new):
+    """Tests if the predictions have the correct shape and type."""
+    # fit model
+    model = CPMDATabPFNRegressor(quantiles=[0.05, 0.5, 0.95], val_size=0.5, seed=seed)
+    calibration_results, model_fit = model.fit(X_train, Y_train)
+
+    # Apply the model to new cases
+    cp_apply = CPMDATabPFNRegressorNewData(
+        model_fit, quantiles=[0.05, 0.5, 0.95], calibration_results=calibration_results
+    )
+    CP_results = cp_apply.predict(X_new)
+
+    assert CP_results[1].size == X_new.shape[0]
+    assert isinstance(CP_results[1], np.ndarray)
+    assert len(CP_results) == 5