Poster
Online conformal prediction with decaying step sizes
Anastasios Angelopoulos · Rina Barber · Stephen Bates
[
Abstract
]
Abstract:
We introduce a method for online conformal prediction with decaying step sizes. Like previous methods, ours possesses a retrospective guarantee of coverage for arbitrary sequences. However, unlike previous methods, we can simultaneously estimate a population quantile when it exists. Our theory and experiments indicate substantially improved practical properties: in particular, when the distribution is stable, the coverage is close to the desired level for every time point, not just on average over the observed sequence.
Live content is unavailable. Log in and register to view live content