Corpus ID: 234778213

Conformal histogram regression

@inproceedings{Sesia2021ConformalHR,
  title={Conformal histogram regression},
  author={Matteo Sesia and Yaniv Romano},
  year={2021}
}
This paper develops a conformal method to compute prediction intervals for nonparametric regression that can automatically adapt to skewed data. Leveraging black-box machine learning algorithms to estimate the conditional distribution of the outcome using histograms, it translates their output into the shortest prediction intervals with approximate conditional coverage. The resulting prediction intervals provably have marginal coverage in finite samples, while asymptotically achieving… Expand

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