mlsanityData to 7 Oct 2026

Adaptive Conformal Predictions for Time Series

arXiv 2202.07282 ↗First posted 15 Feb 2022stat.ML cs.LGcited by 155

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Abstract (arXiv)

Uncertainty quantification of predictive models is crucial in decision-making problems. Conformal prediction is a general and theoretically sound answer. However, it requires exchangeable data, excluding time series. While recent works tackled this issue, we argue that Adaptive Conformal Inference (ACI, Gibbs and Cand`es, 2021), developed for distribution-shift time series, is a good procedure for time series with general dependency. We theoretically analyse the impact of the learning rate on its efficiency in the exchangeable and auto-regressive case. We propose a parameter-free method, AgACI, that adaptively builds upon ACI based on online expert aggregation. We lead extensive fair simulations against competing methods that advocate for ACI's use in time series. We conduct a real case study: electricity price forecasting. The proposed aggregation algorithm provides efficient prediction intervals for day-ahead forecasting. All the code and data to reproduce the experiments is made available.

Key facts. Cited by 155 papers in the map (data through 7 Oct 2026). Builds on 14 of its 45 references that are in the map. First posted on arXiv 15 Feb 2022.

Builds on

14 of 45 references.

References · 14

  1. 2019Introduction to Online Convex Optimizationcited by 793
  2. 2021A Gentle Introduction to Conformal Prediction and Distribution-Free Uncertainty Quantificationcited by 777
  3. 2016Distribution-Free Predictive Inference For Regressioncited by 657
  4. 2019Conformalized Quantile Regressioncited by 620
  5. 2019Conformal Prediction Under Covariate Shiftcited by 511
  6. 2021Adaptive Conformal Inference Under Distribution Shiftcited by 360
  7. 2020Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmarkcited by 105
  8. 2014A Second-order Bound with Excess Lossescited by 91
  9. 2020Robust Validation: Confident Predictions Even When Distributions Shiftcited by 82
  10. 2018Exact and Robust Conformal Inference Methods for Predictive Machine Learning With Dependent Datacited by 64
  11. 2014Optimal learning with Bernstein Online Aggregationcited by 35
  12. 2021CRPS Learningcited by 21
2 more
  1. 2019Conformal Prediction Interval Estimations with an Application to Day-Ahead and Intraday Power Marketscited by 19
  2. 2021Expert Aggregation for Financial Forecastingcited by 3

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Cited by year (2026 to 7 Oct)

Citing papers per year: 2022: 11; 2023: 22; 2024: 43; 2025: 40; 2026: 39.

155 papers.

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  1. 2022Confident Adaptive Language Modelingcited by 297
  2. 2022Conformal Inference for Online Prediction with Arbitrary Distribution Shiftscited by 123
  3. 2023Conformal PID Control for Time Series Predictioncited by 85
  4. 2023Uncertainty Quantification over Graph with Conformalized Graph Neural Networkscited by 79
  5. 2023A Survey on Uncertainty Quantification Methods for Deep Learningcited by 78
  6. 2023Improved Online Conformal Prediction via Strongly Adaptive Online Learningcited by 76
  7. 2022Sequential Predictive Conformal Inference for Time Seriescited by 71
  8. 2022Practical Adversarial Multivalid Conformal Predictioncited by 65
  9. 2024Online conformal prediction with decaying step sizescited by 53
  10. 2024Conformal Prediction for Natural Language Processing: A Surveycited by 52
  11. 2023Conformal Decision Theory: Safe Autonomous Decisions from Imperfect Predictionscited by 46
  12. 2023High-Dimensional Prediction for Sequential Decision Makingcited by 41
38 more
  1. 2023Conformal Prediction for Time Series with Modern Hopfield Networkscited by 40
  2. 2022Achieving Risk Control in Online Learning Settingscited by 38
  3. 2024Conformal prediction for multi-dimensional time series by ellipsoidal setscited by 37
  4. 2024Conformal Prediction Sets Improve Human Decision Makingcited by 35
  5. 2023Conformal Prediction Regions for Time Series using Linear Complementarity Programmingcited by 33
  6. 2023Non-Exchangeable Conformal Risk Controlcited by 29
  7. 2022Distribution Free Prediction Sets for Node Classificationcited by 28
  8. 2022Copula Conformal Prediction for Multi-step Time Series Forecastingcited by 28
  9. 2024C-RAG: Certified Generation Risks for Retrieval-Augmented Language Modelscited by 27
  10. 2024Conformal Validity Guarantees Exist for Any Data Distribution (and How to Find Them)cited by 26
  11. 2022Conformal Prediction with Temporal Quantile Adjustmentscited by 25
  12. 2024Conformal Prediction: A Data Perspectivecited by 25
  13. 2023Conformal Prediction with Missing Valuescited by 24
  14. 2025Multivariate Conformal Prediction using Optimal Transportcited by 21
  15. 2022Split Localized Conformal Predictioncited by 20
  16. 2023Forking Uncertainties: Reliable Prediction and Model Predictive Control with Sequence Models via Conformal Risk Controlcited by 19
  17. 2023Deep learning models for price forecasting of financial time series: A review of recent advancements: 2020-2022cited by 16
  18. 2024Localized Adaptive Risk Controlcited by 16
  19. 2024Discounted Adaptive Online Learning: Towards Better Regularizationcited by 12
  20. 2024Bellman Conformal Inference: Calibrating Prediction Intervals For Time Seriescited by 12
  21. 2024Kernel-based Optimally Weighted Conformal Time-Series Predictioncited by 12
  22. 2024Split Conformal Prediction under Data Contaminationcited by 12
  23. 2024Conformal online model aggregationcited by 11
  24. 2024Conformalized Interactive Imitation Learning: Handling Expert Shift and Intermittent Feedbackcited by 11
  25. 2025Error-quantified Conformal Inference for Time Seriescited by 11
  26. 2025Conformal Prediction under Levy-Prokhorov Distribution Shifts: Robustness to Local and Global Perturbationscited by 11
  27. 2022Conformal Prediction Intervals with Temporal Dependencecited by 9
  28. 2024TorchCP: A Python Library for Conformal Predictioncited by 9
  29. 2024Conformalized Link Prediction on Graph Neural Networkscited by 9
  30. 2025On Continuous Monitoring of Risk Violations under Unknown Shiftcited by 9
  31. 2023Adaptive Probabilistic Forecasting of Electricity (Net-)Loadcited by 8
  32. 2024Multi-model Ensemble Conformal Prediction in Dynamic Environmentscited by 8
  33. 2024Distribution-Free Conformal Joint Prediction Regions for Neural Marked Temporal Point Processescited by 7
  34. 2024Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regressioncited by 7
  35. 2024ConstrainedZero: Chance-Constrained POMDP Planning using Learned Probabilistic Failure Surrogates and Adaptive Safety Constraintscited by 7
  36. 2025Conformal Information Pursuit for Interactively Guiding Large Language Modelscited by 7
  37. 2024Conformal Predictive Programming for Chance Constrained Optimizationcited by 6
  38. 2024Spatial Conformal Inference through Localized Quantile Regressioncited by 6

50 most cited of 155 All 155 (JSON)