Make prediction intervals name more robust for sktime

[eccabay]

Closes #4281

[codecov]

Codecov Report

Merging #4283 (539f974) into main (2ad46d3) will increase coverage by 49.7%.
The diff coverage is 100.0%.

@@           Coverage Diff            @@
##            main   #4283      +/-   ##
========================================
+ Coverage   50.1%   99.7%   +49.7%     
========================================
  Files        355     355              
  Lines      38956   38959       +3     
========================================
+ Hits       19490   38838   +19348     
+ Misses     19466     121   -19345     

Files Changed	Coverage Δ
...omponents/estimators/regressors/arima_regressor.py	100.0% <100.0%> (+67.7%)	⬆️
...alml/tests/component_tests/test_arima_regressor.py	100.0% <100.0%> (+100.0%)	⬆️

... and 233 files with indirect coverage changes