Multi Split Conformal Prediction
Methodology
2021-07-22 v2
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 depends on the particular split. To address this problem, we propose multi split conformal prediction, a simple method based on Markov's inequality to aggregate single split conformal prediction intervals across multiple splits.
Cite
@article{arxiv.2103.00627,
title = {Multi Split Conformal Prediction},
author = {Aldo Solari and Vera Djordjilović},
journal= {arXiv preprint arXiv:2103.00627},
year = {2021}
}
Comments
12 pages, 1 figure, 2 table