• Corpus ID: 219179356

Conformal prediction intervals for the individual treatment effect

@article{Kivaranovic2020ConformalPI,
  title={Conformal prediction intervals for the individual treatment effect},
  author={Danijel Kivaranovic and Robin Ristl and Martin Posch and Hannes Leeb},
  journal={arXiv: Methodology},
  year={2020}
}
We propose several prediction intervals procedures for the individual treatment effect with either finite-sample or asymptotic coverage guarantee in a non-parametric regression setting, where non-linear regression functions, heteroskedasticity and non-Gaussianity are allowed. The construct the prediction intervals we use the conformal method of Vovk et al. (2005). In extensive simulations, we compare the coverage probability and interval length of our prediction interval procedures. We… 
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