conformalbayes

MaRDI QIDQ100533CRANFDO

Authors Cory Mccartan

Last update 25 July 2025

Copyright license MIT license, File License

Software version identifier 0.1.2, PACKAGES.rds, 0.1.0, 0.1.4

Description

Provides functions to construct finite-sample calibrated predictive intervals for Bayesian models, following the approach in Barber et al. (2021) <doi:10.1214/20-AOS1965>. These intervals are calculated efficiently using importance sampling for the leave-one-out residuals. By default, the intervals will also reflect the relative uncertainty in the Bayesian model, using the locally-weighted conformal methods of Lei et al. (2018) <doi:10.1080/01621459.2017.1307116>.

Cites work

• Distribution-Free Predictive Inference for Regression
• Predictive inference with the jackknife+

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