conformalbayes (Q100533)
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Jackknife(+) Predictive Intervals for Bayesian Models
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | conformalbayes |
Jackknife(+) Predictive Intervals for Bayesian Models |
Statements
25 July 2025
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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>.
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