Universally Consistent Conformal Predictive Distributions

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Vladimir Vovk ;
Proceedings of the Eighth Symposium on Conformal and Probabilistic Prediction and Applications, PMLR 105:105-122, 2019.

Abstract

This paper describes conformal predictive systems that are universally consistent in the sense of being consistent under any data-generating distribution, assuming that the observations are produced independently in the IID fashion. Being conformal, these predictive systems satisfy a natural property of small-sample validity, namely they are automatically calibrated in probability.

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