IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2608.07479.html

Marginally Useful: An Information-Gap Identity in Conformal Prediction

Author

Listed:
  • Peter Cotton

Abstract

Conformal prediction has been touted as a more formal, rigorous approach to adding uncertainty to a forecast. The sole objective of this note is to point out that rigor cuts both ways in the case of residual pooling, the technique used in the vast majority of conformal prediction applications. The fact that unconditional guarantee of coverage is provided is not in question, but we make clear, we believe for the first time, that there is an opposing guarantee too: a permanent gambit of logarithmic-score regret which no amount of data or tuning can subsequently reduce. We give the exact size of the sacrifice, and a financial reading of it as the growth rate of an oracle adversary betting against odds set by someone using residual pooling.

Suggested Citation

  • Peter Cotton, 2026. "Marginally Useful: An Information-Gap Identity in Conformal Prediction," Papers 2608.07479, arXiv.org, revised Aug 2026.
    • Handle: RePEc:arx:papers:2608.07479
    as

    Download full text from publisher

    File URL: https://arxiv.org/pdf/2608.07479
    File Function: Latest version
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2608.07479. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: https://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.