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.
Solari, A., Djordjilovic, V. (2022). Multi split conformal prediction. STATISTICS & PROBABILITY LETTERS, 184(May 2022) [10.1016/j.spl.2022.109395].
Multi split conformal prediction
Solari A.
;
2022
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.
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