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Multi split conformal prediction

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  • Solari, Aldo
  • Djordjilović, Vera

Abstract

Split conformal prediction is a computationally efficient method for performing distribution-free predictive inference in regression. It involves, however, a one-time random split of the data, and the result can strongly depend on the particular split. To address this problem, we propose multi split conformal prediction, a simple method based on Markov’s inequality to aggregate split conformal prediction intervals across multiple splits.

Suggested Citation

  • Solari, Aldo & Djordjilović, Vera, 2022. "Multi split conformal prediction," Statistics & Probability Letters, Elsevier, vol. 184(C).
    • Handle: RePEc:eee:stapro:v:184:y:2022:i:c:s0167715222000177
    DOI: 10.1016/j.spl.2022.109395
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    References listed on IDEAS

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    1. Meinshausen, Nicolai & Meier, Lukas & Bühlmann, Peter, 2009. "p-Values for High-Dimensional Regression," Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1671-1681.
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    3. Jing Lei & Max G’Sell & Alessandro Rinaldo & Ryan J. Tibshirani & Larry Wasserman, 2018. "Distribution-Free Predictive Inference for Regression," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(523), pages 1094-1111, July.
    4. Rajen D. Shah & Richard J. Samworth, 2013. "Variable selection with error control: another look at stability selection," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(1), pages 55-80, January.
    5. DiCiccio, Cyrus J. & DiCiccio, Thomas J. & Romano, Joseph P., 2020. "Exact tests via multiple data splitting," Statistics & Probability Letters, Elsevier, vol. 166(C).
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    Cited by:

    1. Zhang, Yingying & Shi, Chengchun & Luo, Shikai, 2023. "Conformal off-policy prediction," LSE Research Online Documents on Economics 118250, London School of Economics and Political Science, LSE Library.

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