A comparison of some conformal quantile regression methods
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Publication:6325140
DOI10.1002/STA4.261arXiv1909.05433OpenAlexW3102059752WikidataQ130427807 ScholiaQ130427807MaRDI QIDQ6325140FDOQ6325140
Emmanuel J. Candès, Matteo Sesia
Publication date: 11 September 2019
Abstract: We compare two recently proposed methods that combine ideas from conformal inference and quantile regression to produce locally adaptive and marginally valid prediction intervals under sample exchangeability (Romano et al., 2019; Kivaranovic et al., 2019). First, we prove that these two approaches are asymptotically efficient in large samples, under some additional assumptions. Then we compare them empirically on simulated and real data. Our results demonstrate that the method in Romano et al. (2019) typically yields tighter prediction intervals in finite samples. Finally, we discuss how to tune these procedures by fixing the relative proportions of observations used for training and conformalization.
Full work available at URL: https://doi.org/10.1002/sta4.261
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