CD-split: efficient conformal regions in high dimensions

07/24/2020
by   Rafael Izbicki, et al.
5

Conformal methods create prediction bands that control average coverage assuming solely i.i.d. data. Although the literature has mostly focused on prediction intervals, more general regions can often better represent uncertainty. For instance, a bimodal target is better represented by the union of two intervals. Such prediction regions are obtained by CD-split, which combines the split method and a data-driven partition of the feature space which scales to high dimensions. In this paper, we provide new theoretical properties and simulations related to CD-split. We show that CD-split converges asymptotically to the oracle highest density set. In particular, we show that CD-split satisfies local and asymptotic conditional validity. We also present many new simulations, which show how to tune CD-split and compare it to other methods in the literature. In a wide variety of these simulations, CD-split has a better conditional coverage and yields smaller prediction regions than other methods.

READ FULL TEXT

page 1

page 2

page 3

page 4

research
07/07/2021

MD-split+: Practical Local Conformal Inference in High Dimensions

Quantifying uncertainty in model predictions is a common goal for practi...
research
06/27/2022

Split Localized Conformal Prediction

Conformal prediction is a simple and powerful tool that can quantify unc...
research
03/29/2022

Split Conformal Prediction for Dependent Data

Split conformal prediction is a popular tool to obtain predictive interv...
research
03/05/2023

On the universal distribution of the coverage in split conformal prediction

Two additional universal properties are established in the split conform...
research
05/09/2019

Conformal prediction for exponential families and generalized linear models

Conformal prediction methods construct prediction regions for iid data t...
research
06/10/2013

The Orthogonal 2D Planes Split of Quaternions and Steerable Quaternion Fourier Transformations

The two-sided quaternionic Fourier transformation (QFT) was introduced i...
research
05/28/2022

Approximate Conditional Coverage via Neural Model Approximations

Constructing reliable prediction sets is an obstacle for applications of...

Please sign up or login with your details

Forgot password? Click here to reset