Corpus ID: 235694507

Well-calibrated prediction intervals for regression problems

@article{Dewolf2021WellcalibratedPI,
  title={Well-calibrated prediction intervals for regression problems},
  author={Nicolas Dewolf and Bernard De Baets and Willem Waegeman},
  journal={ArXiv},
  year={2021},
  volume={abs/2107.00363}
}
Over the last few decades, various methods have been proposed for estimating prediction intervals in regression settings, including Bayesian methods, ensemble methods, direct interval estimation methods and conformal prediction methods. An important issue is the calibration of these methods: the generated prediction intervals should have a predefined coverage level, without being overly conservative. In this work, we review the above four classes of methods from a conceptual and experimental… Expand

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