Conformal Prediction: a Unified Review of Theory and New Challenges
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In this work we provide a review of basic ideas and novel developments about Conformal Prediction – an innovative distribution-free, non-parametric forecasting method, based on minimal assumptions – that is able to yield in a very straightforward way predictions sets that are valid in a statistical sense also in in the finite sample case. The in-depth discussion provided in the paper covers the theoretical underpinnings of Conformal Prediction, and then proceeds to list the more advanced developments and adaptations of the original idea.
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