Universal Prediction Band via Semi-Definite Programming

  title={Universal Prediction Band via Semi-Definite Programming},
  author={Tengyuan Liang},
  • Tengyuan Liang
  • Published 31 March 2021
  • Mathematics, Computer Science, Economics
  • ArXiv
We propose a computationally efficient method to construct nonparametric, heteroskedastic prediction bands for uncertainty quantification, with or without any user-specified predictive model. The data-adaptive prediction band is universally applicable with minimal distributional assumptions, with strong non-asymptotic coverage properties, and easy to implement using standard convex programs. Our approach can be viewed as a novel variance interpolation with confidence and further leverages… 

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