Bellman Conformal Inference: Calibrating Prediction Intervals For Time Series

arXiv:2402.05203 · cs.LG, stat.ML · Submitted 2024-02-07 · Read on arXiv

cs.LG, stat.ML

Submitted: 2024-02-07

Updated: 2026-10-14

Comments: 36 pages, 5 figures

Code: https://github.com/ZitongYang/bellman-conformal-inference

License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/

Terminology

• Bellman Conformal Inference — 2× in this paper
• Distribution Shift — 1× in this paper · explained in 9 episodes
• Distribution Shifts — 1× in this paper · explained in 2 episodes
• Time Series Forecasting — 1× in this paper · explained in 4 episodes

Sources

• A Gentle Introduction to Conformal Prediction and Distribution-Free Uncertainty Quantification
• Learn then Test: Calibrating Predictive Algorithms to Achieve Risk Control
• Conformal Risk Control
• Conformal PID Control for Time Series Prediction
• Conformal Prediction Intervals for Markov Decision Process Trajectories
• Split Conformal Prediction and Non-Exchangeable Data

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