mlsanityData to 14 Oct 2026

Conformal prediction for time series

arXiv 2010.09107 ↗First posted 18 Oct 2020stat.ME stat.AP stat.MLcited by 53

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Abstract (arXiv)

We develop a general framework for constructing distribution-free prediction intervals for time series. Theoretically, we establish explicit bounds on conditional and marginal coverage gaps of estimated prediction intervals, which asymptotically converge to zero under additional assumptions. We obtain similar bounds on the size of set differences between oracle and estimated prediction intervals. Methodologically, we introduce a computationally efficient algorithm called textttEnbPI that wraps around ensemble predictors, which is closely related to conformal prediction (CP) but does not require data exchangeability. textttEnbPI avoids data-splitting and is computationally efficient by avoiding retraining and thus scalable to sequentially producing prediction intervals. We perform extensive simulation and real-data analyses to demonstrate its effectiveness compared with existing methods. We also discuss the extension of textttEnbPI on various other applications.

Key facts. Cited by 53 papers in the map (data through 14 Oct 2026). First posted on arXiv 18 Oct 2020.

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Citing papers per year: 2022: 1; 2023: 4; 2024: 13; 2025: 21; 2026: 14.

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  1. 2025SAFE: Multitask Failure Detection for Vision-Language-Action Modelscited by 80
  2. 2025Can We Detect Failures Without Failure Data? Uncertainty-Aware Runtime Failure Detection for Imitation Learning Policiescited by 52
  3. 2023Conformal Prediction for Time Series with Modern Hopfield Networkscited by 42
  4. 2024Conformal prediction for multi-dimensional time series by ellipsoidal setscited by 37
  5. 2024Trustworthy Classification through Rank-Based Conformal Prediction Setscited by 20
  6. 2025Out-of-Distribution Generalization in Time Series: A Surveycited by 16
  7. 2024Kernel-based Optimally Weighted Conformal Time-Series Predictioncited by 15
  8. 2025Error-quantified Conformal Inference for Time Seriescited by 12
  9. 2025Relational Conformal Prediction for Correlated Time Seriescited by 11
  10. 2025Predictive inference for time series: why is split conformal effective despite temporal dependence?cited by 10
  11. 2023UTOPIA: Universally Trainable Optimal Prediction Intervals Aggregationcited by 8
  12. 2024Can Transformers Do Enumerative Geometry?cited by 8
38 more
  1. 2024Distribution-Free Conformal Joint Prediction Regions for Neural Marked Temporal Point Processescited by 7
  2. 2024Transformer Conformal Prediction for Time Seriescited by 7
  3. 2024On-line conformalized neural networks ensembles for probabilistic forecasting of day-ahead electricity pricescited by 5
  4. 2025Flow-based Conformal Prediction for Multi-dimensional Time Seriescited by 5
  5. 2025Non-exchangeable Conformal Prediction with Optimal Transport: Tackling Distribution Shifts with Unlabeled Datacited by 5
  6. 2025ResCP: Reservoir Conformal Prediction for Time Series Forecastingcited by 5
  7. 2025Conformal Inference for Time Series over Graphscited by 5
  8. 2024Uncertainty quantification in metric spacescited by 4
  9. 2025Estimating stationary mass, frequency by frequencycited by 4
  10. 2023Conformal Predictions for Longitudinal Datacited by 3
  11. 2024JANET: Joint Adaptive predictioN-region Estimation for Time-seriescited by 3
  12. 2025Topology-Aware Conformal Prediction for Stream Networkscited by 3
  13. 2025Conformal Prediction with Corrupted Labels: Uncertain Imputation and Robust Re-weightingcited by 3
  14. 2025On the Performance of LLMs for Real Estate Appraisalcited by 3
  15. 2025Anytime-Valid Answer Sufficiency Certificates for LLM Generation via Sequential Information Liftcited by 3
  16. 2025Conformal and kNN Predictive Uncertainty Quantification Algorithms in Metric Spacescited by 2
  17. 2025Enhanced Renewable Energy Forecasting using Context-Aware Conformal Predictioncited by 2
  18. 2022A general framework for multi-step ahead adaptive conformal heteroscedastic time series forecastingcited by 1
  19. 2023Conformal inference for regression on Riemannian Manifoldscited by 1
  20. 2024Single Trajectory Conformal Predictioncited by 1
  21. 2025CoIFNet: A Unified Framework for Multivariate Time Series Forecasting with Missing Valuescited by 1
  22. 2026Improving Backward Conformal Prediction via Non-Conformity Score Transformationcited by 1
  23. 2026Beyond Fixed False Discovery Rates: Post-Hoc Conformal Selection with E-Variablescited by 1
  24. 2026A Kernel Nonconformity Score for Multivariate Conformal Predictioncited by 1
  25. 2026Training-Free Probabilistic Time-Series Forecasting with Conformal Seasonal Poolscited by 1
  26. 2026On Optimal Data Splitting for Split Conformal Predictioncited by 1
  27. 2024Conformal Recursive Feature Eliminationcited by 0
  28. 2024Distribution-Free Predictive Inference under Unknown Temporal Driftcited by 0
  29. 2024Magazine Supply Optimization: a Case-studycited by 0
  30. 2025CONTINA: Confidence Interval for Traffic Demand Prediction with Coverage Guaranteecited by 0
  31. 2025Foundation Model Forecasts: Form and Functioncited by 0
  32. 2025Conformalized Polynomial Chaos Expansion for Uncertainty-aware Surrogate Modelingcited by 0
  33. 2026Conflict Forecasting via Conformal Prediction for Markov Processescited by 0
  34. 2026Delving into Non-Exchangeability for Conformal Prediction in Graph-Structured Multivariate Time Seriescited by 0
  35. 2026Online Conformal Prediction for Non-Exchangeable Panel Datacited by 0
  36. 2026Online Conformal Prediction with Corrupted Feedbackcited by 0
  37. 2026Report the Floor: A Training-Free Conformal Interval Is a Mandatory Baseline for Probabilistic Time-Series Forecastingcited by 0
  38. 2026Long-Memory Reservoir Computing for Data-Scarce Dengue Forecastingcited by 0

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