Universally Consistent Conformal Predictive Distributions
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Proceedings of the Eighth Symposium on Conformal and Probabilistic Prediction and Applications, PMLR 105:105122, 2019.
Abstract
This paper describes conformal predictive systems that are universally consistent
in the sense of being consistent under any datagenerating distribution,
assuming that the observations are produced independently in the IID fashion.
Being conformal, these predictive systems satisfy a natural property of smallsample validity,
namely they are automatically calibrated in probability.
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