# Conformal prediction set for time-series

arXiv: https://arxiv.org/abs/2206.07851 · HTML: https://mlsanity.com/paper/2206.07851/

## Key facts

- Cited by 5 papers in the map (data through 14 Oct 2026).
- Builds on 14 of its 32 references that are in the map.
- First posted on arXiv 15 Jun 2022.

## Builds on (most cited first, 14 of 14)

- [PointNet: Deep Learning on Point Sets for 3D Classification and Segmentation](https://mlsanity.com/paper/1612.00593/) (2016)
- [Aggregated Residual Transformations for Deep Neural Networks](https://mlsanity.com/paper/1611.05431/) (2016)
- [V-Net: Fully Convolutional Neural Networks for Volumetric Medical Image Segmentation](https://mlsanity.com/paper/1606.04797/) (2016)
- [Conformal Prediction Under Covariate Shift](https://mlsanity.com/paper/1904.06019/) (2019)
- [Classification with Valid and Adaptive Coverage](https://mlsanity.com/paper/2006.02544/) (2020)
- [Uncertainty Sets for Image Classifiers using Conformal Prediction](https://mlsanity.com/paper/2009.14193/) (2020)
- [Conformal prediction beyond exchangeability](https://mlsanity.com/paper/2202.13415/) (2022)
- [Least Ambiguous Set-Valued Classifiers with Bounded Error Levels](https://mlsanity.com/paper/1609.00451/) (2016)
- [Predictive inference with the jackknife+](https://mlsanity.com/paper/1905.02928/) (2019)
- [Conformal Prediction: a Unified Review of Theory and New Challenges](https://mlsanity.com/paper/2005.07972/) (2020)
- [Conformal Prediction using Conditional Histograms](https://mlsanity.com/paper/2105.08747/) (2021)
- [Predictive Inference Is Free with the Jackknife+-after-Bootstrap](https://mlsanity.com/paper/2002.09025/) (2020)
- [PAC Prediction Sets Under Covariate Shift](https://mlsanity.com/paper/2106.09848/) (2021)
- [Conformal Anomaly Detection on Spatio-Temporal Observations with Missing Data](https://mlsanity.com/paper/2105.11886/) (2021)

## Built on by (most cited first, 5 of 5)

- [Conformal Prediction for Time Series with Modern Hopfield Networks](https://mlsanity.com/paper/2303.12783/) (2023)
- [Conformal prediction for multi-dimensional time series by ellipsoidal sets](https://mlsanity.com/paper/2403.03850/) (2024)
- [Conformal Prediction: A Data Perspective](https://mlsanity.com/paper/2410.06494/) (2024)
- [Kernel-based Optimally Weighted Conformal Time-Series Prediction](https://mlsanity.com/paper/2405.16828/) (2024)
- [RR-CP: Reliable-Region-Based Conformal Prediction for Trustworthy Medical Image Classification](https://mlsanity.com/paper/2309.04760/) (2023)

## Abstract (arXiv)

When building either prediction intervals for regression (with real-valued response) or prediction sets for classification (with categorical responses), uncertainty quantification is essential to studying complex machine learning methods. In this paper, we develop Ensemble Regularized Adaptive Prediction Set (ERAPS) to construct prediction sets for time-series (with categorical responses), based on the prior work of [Xu and Xie, 2021]. In particular, we allow unknown dependencies to exist within features and responses that arrive in sequence. Method-wise, ERAPS is a distribution-free and ensemble-based framework that is applicable for arbitrary classifiers. Theoretically, we bound the coverage gap without assuming data exchangeability and show asymptotic set convergence. Empirically, we demonstrate valid marginal and conditional coverage by ERAPS, which also tends to yield smaller prediction sets than competing methods.