Multi split conformal prediction

DOI10.48550/ARXIV.2103.00627zbMATH Open1489.62205OpenAlexW4210627726MaRDI QIDQ112509FDOQ112509

Authors Aldo Solari, Vera Djordjilović, 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?)
• A tutorial on conformal prediction
• Combining \(p\)-values via averaging
• Cross-conformal predictors
• Distribution-free predictive inference for regression
• Exact tests via multiple data splitting
• Halving the Bounds for the Markov, Chebyshev, and Chernoff Inequalities Using Smoothing
• Predictive inference with the jackknife+
• Random variables with maximum sums
• Stability Selection
• Testing the prediction error difference between 2 predictors
• Variable Selection with Error Control: Another Look at Stability Selection
• \(p\)-values for high-dimensional regression

Cited in

(7)

• Does data splitting improve prediction?
• Cross-conformal predictors
• A confidence machine for sparse high-order interaction model
• Multi-split conformal prediction via Cauchy aggregation
• Distribution-free predictive inference for regression
• conformalInference.fd
• conformalInference.multi

Describes a project that uses

Uses Software

• conformalInference

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