Multi split conformal prediction

DOI10.48550/ARXIV.2103.00627MaRDI QIDQ112509zbMATH OpenOpenAlexFDO

Authors Aldo Solari, Vera Djordjilović

Publication date 28 February 2021

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2103.00627

zbMATH Keywords

conformal inferencestabilitydata splitting

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Nonparametric statistical resampling methods (62G09) Estimation in multivariate analysis (62H12) Inequalities; stochastic orderings (60E15)

Abstract: Split conformal prediction is a computationally efficient method for performing distribution-free predictive inference in regression. It involves, however, a one-time random split of the data, and the result depends on the particular split. To address this problem, we propose multi split conformal prediction, a simple method based on Markov's inequality to aggregate single split conformal prediction intervals across multiple splits.

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Cites work

• scientific article; zbMATH DE number 2168212 (Why is no real title available?)
• scientific article; zbMATH DE number 1931847 (Why is no real title available?)
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Cited in

(10)

• Distribution-free predictive inference for regression
• A comprehensive framework for evaluating time to event predictions using the restricted mean survival time
• Cross-conformal predictors
• conformalInference.fd
• conformalInference.multi
• Conformal Prediction for Network-Assisted Regression
• Rank-transformed subsampling: inference for multiple data splitting and exchangeable p-values
• Does data splitting improve prediction?
• A confidence machine for sparse high-order interaction model
• Multi-split conformal prediction via Cauchy aggregation

Describes a project that uses

Uses Software

• conformalInference

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