Conformal Coverage of Time Series: Validity and Inference

arXiv:2609.33868 · math.ST, stat.ME, stat.ML, stat.TH · Submitted 2026-09-27 · Read on arXiv

math.ST, stat.ME, stat.ML, stat.TH

Submitted: 2026-09-27

Updated: 2026-09-27

Project page: https://yuexuanren.github.io/ConformalPI.pdf

Terminology

• Calibration — 69× in this paper · explained in 7 episodes
• Conformal Prediction — 17× in this paper · explained in 5 episodes
• Benchmark — 6× in this paper · explained in 2 episodes
• Consistency — 4× in this paper · explained in 3 episodes
• Exchangeability — 3× in this paper · explained in 2 episodes
• Accuracy — 2× in this paper · explained in 1 episode
• Verification — 2× in this paper · explained in 2 episodes
• Distribution Shift — 1× in this paper · explained in 6 episodes

Sources

• Asymptotics for conformal inference
• Rolling-Origin Conformal Prediction under Local Stationarity and Weak Dependence
• Conformal Prediction via Transported Beta Laws

Related papers

• Conformal Prediction for Dyadic Regression Under Complex Missingness
• Sharp Asymptotic Theory of Maximum Likelihood Estimation for Gaussian Processes with an RBF Kernel
• Bentkus-type asymptotic e-values
• High-Dimensional Asymptotics of Differentially Private PCA
• A proximal gradient algorithm for composite log-concave sampling
• KL Convergence Guarantees for Score diffusion models under minimal data assumptions