Multi split conformal prediction

DOI10.48550/ARXIV.2103.00627zbMATH Open1489.62205arXiv2103.00627OpenAlexW4210627726MaRDI 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)

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.

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

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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)

Cites Work

• Stability Selection
• \(p\)-values for high-dimensional regression
• Testing the prediction error difference between 2 predictors
• Predictive inference with the jackknife+
• Distribution-free predictive inference for regression
• Cross-conformal predictors
• Title not available (Why is that?)
• Exact tests via multiple data splitting
• A tutorial on conformal prediction
• Random variables with maximum sums
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• Halving the Bounds for the Markov, Chebyshev, and Chernoff Inequalities Using Smoothing
• Variable Selection with Error Control: Another Look at Stability Selection
• Combining \(p\)-values via averaging

Cited In (7)

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

Uses Software

• conformalInference

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