Conformalized Quantile Regression
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Publication:137984
DOI10.48550/ARXIV.1905.03222arXiv1905.03222MaRDI QIDQ137984FDOQ137984
Authors: Yaniv Romano, Emmanuel J. Candès, Evan Patterson 
Publication date: 8 May 2019
Abstract: Conformal prediction is a technique for constructing prediction intervals that attain valid coverage in finite samples, without making distributional assumptions. Despite this appeal, existing conformal methods can be unnecessarily conservative because they form intervals of constant or weakly varying length across the input space. In this paper we propose a new method that is fully adaptive to heteroscedasticity. It combines conformal prediction with classical quantile regression, inheriting the advantages of both. We establish a theoretical guarantee of valid coverage, supplemented by extensive experiments on popular regression datasets. We compare the efficiency of conformalized quantile regression to other conformal methods, showing that our method tends to produce shorter intervals.
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