mlsanityData to 7 Oct 2026

Sequential Predictive Conformal Inference for Time Series

arXiv 2212.03463 ↗First posted 7 Dec 2022stat.ML cs.LG stat.MEcited by 71

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Abstract (arXiv)

We present a new distribution-free conformal prediction algorithm for sequential data (e.g., time series), called the textitsequential predictive conformal inference (textttSPCI). We specifically account for the nature that time series data are non-exchangeable, and thus many existing conformal prediction algorithms are not applicable. The main idea is to adaptively re-estimate the conditional quantile of non-conformity scores (e.g., prediction residuals), upon exploiting the temporal dependence among them. More precisely, we cast the problem of conformal prediction interval as predicting the quantile of a future residual, given a user-specified point prediction algorithm. Theoretically, we establish asymptotic valid conditional coverage upon extending consistency analyses in quantile regression. Using simulation and real-data experiments, we demonstrate a significant reduction in interval width of textttSPCI compared to other existing methods under the desired empirical coverage.

Key facts. Cited by 71 papers in the map (data through 7 Oct 2026). Builds on 15 of its 38 references that are in the map. First posted on arXiv 7 Dec 2022.

Builds on

15 of 38 references.

References · 15

  1. 2017DeepAR: Probabilistic Forecasting with Autoregressive Recurrent Networkscited by 1,004
  2. 2021A Gentle Introduction to Conformal Prediction and Distribution-Free Uncertainty Quantificationcited by 777
  3. 2019Temporal Fusion Transformers for Interpretable Multi-horizon Time Series Forecastingcited by 748
  4. 2019Conformalized Quantile Regressioncited by 620
  5. 2020Classification with Valid and Adaptive Coveragecited by 390
  6. 2020Uncertainty Sets for Image Classifiers using Conformal Predictioncited by 365
  7. 2021Adaptive Conformal Inference Under Distribution Shiftcited by 360
  8. 2022Conformal prediction beyond exchangeabilitycited by 348
  9. 2017A Multi-Horizon Quantile Recurrent Forecastercited by 211
  10. 2022Adaptive Conformal Predictions for Time Seriescited by 155
  11. 2020Conformal Prediction: a Unified Review of Theory and New Challengescited by 118
  12. 2019Nested conformal prediction and quantile out-of-bag ensemble methodscited by 88
3 more
  1. 2018A Comprehensive Analysis of Deep Regressioncited by 48
  2. 2022Conformal Prediction with Temporal Quantile Adjustmentscited by 25
  3. 2021Conformal Anomaly Detection on Spatio-Temporal Observations with Missing Datacited by 12

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Cited by year (2026 to 7 Oct)

Citing papers per year: 2023: 4; 2024: 16; 2025: 28; 2026: 23.

71 papers.

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  1. 2023Conformal PID Control for Time Series Predictioncited by 85
  2. 2025SAFE: Multitask Failure Detection for Vision-Language-Action Modelscited by 74
  3. 2024Online conformal prediction with decaying step sizescited by 53
  4. 2025Can We Detect Failures Without Failure Data? Uncertainty-Aware Runtime Failure Detection for Imitation Learning Policiescited by 49
  5. 2023Conformal Prediction for Time Series with Modern Hopfield Networkscited by 40
  6. 2024Conformal prediction for multi-dimensional time series by ellipsoidal setscited by 37
  7. 2024Conformal Prediction: A Data Perspectivecited by 25
  8. 2024Bellman Conformal Inference: Calibrating Prediction Intervals For Time Seriescited by 12
  9. 2024Kernel-based Optimally Weighted Conformal Time-Series Predictioncited by 12
  10. 2024Normalizing Flows for Conformal Regressioncited by 11
  11. 2025Relational Conformal Prediction for Correlated Time Seriescited by 11
  12. 2025Conformal Prediction under Levy-Prokhorov Distribution Shifts: Robustness to Local and Global Perturbationscited by 11
38 more
  1. 2024Towards Modeling Uncertainties of Self-explaining Neural Networks via Conformal Predictioncited by 10
  2. 2025Predictive inference for time series: why is split conformal effective despite temporal dependence?cited by 9
  3. 2026The Forecast After the Forecast: A Post-Processing Shift in Time Seriescited by 9
  4. 2024Transformer Conformal Prediction for Time Seriescited by 7
  5. 2023AI4OPT: AI Institute for Advances in Optimizationcited by 6
  6. 2024Spatial Conformal Inference through Localized Quantile Regressioncited by 6
  7. 2024CUQDS: Conformal Uncertainty Quantification under Distribution Shift for Trajectory Predictioncited by 5
  8. 2025Flow-based Conformal Prediction for Multi-dimensional Time Seriescited by 5
  9. 2025Conformal Inference for Time Series over Graphscited by 5
  10. 2026CORA: Conformal Risk-Controlled Agents for Safeguarded Mobile GUI Automationcited by 5
  11. 2025Conformal Prediction for Time-series Forecasting with Change Pointscited by 4
  12. 2026Leave a Window Out: Modifying the Jackknife for Predictive Inference in Time Seriescited by 4
  13. 2023Conformal Predictions for Longitudinal Datacited by 3
  14. 2024DistPred: A Distribution-Free Probabilistic Inference Method for Regression and Forecastingcited by 3
  15. 2024Conformal time series decomposition with component-wise exchangeabilitycited by 3
  16. 2024Uncertainty-Aware Decarbonization for Datacenterscited by 3
  17. 2025Conformal Prediction for Electricity Price Forecasting in the Day-Ahead and Real-Time Balancing Marketcited by 3
  18. 2025CarbonX: An Open-Source Tool for Computational Decarbonization Using Time Series Foundation Modelscited by 3
  19. 2025ResCP: Reservoir Conformal Prediction for Time Series Forecastingcited by 3
  20. 2025Conformal Prediction in The Loop: A Feedback-Based Uncertainty Model for Trajectory Optimizationcited by 3
  21. 2024SEMF: Supervised Expectation-Maximization Framework for Predicting Intervalscited by 2
  22. 2024Hierarchical Probabilistic Conformal Prediction for Distributed Energy Resources Adoptioncited by 2
  23. 2025Enhanced Renewable Energy Forecasting using Context-Aware Conformal Predictioncited by 2
  24. 2025A Gentle Introduction to Conformal Time Series Forecastingcited by 2
  25. 2025Distribution-informed Online Conformal Predictioncited by 2
  26. 2026Conformal Prediction for Generative Models via Adaptive Cluster-Based Density Estimationcited by 2
  27. 2024Learning Cellular Network Connection Quality with Conformalcited by 1
  28. 2025Dual-Splitting Conformal Prediction for Multi-Step Time Series Forecastingcited by 1
  29. 2025Conformal Prediction-Driven Adaptive Sampling for Digital Water Twinscited by 1
  30. 2025Uncertainty-Calibrated Prediction of Randomly-Timed Biomarker Trajectories with Conformal Bandscited by 1
  31. 2026Bias-Corrected Adaptive Conformal Inference for Multi-Horizon Time Series Forecastingcited by 1
  32. 2026Online Localized Conformal Predictioncited by 1
  33. 2026Anytime-Valid Confirmation of Label-Shift Correctionscited by 1
  34. 2026Retrieval-Corrected Conformal Prediction for Time Seriescited by 1
  35. 2025CONTINA: Confidence Interval for Traffic Demand Prediction with Coverage Guaranteecited by 0
  36. 2025Feature Fitted Online Conformal Prediction for Deep Time Series Forecasting Modelcited by 0
  37. 2025Augmented Physics-Based Li-ion Battery Model via Adaptive Ensemble Sparse Learning and Conformal Predictioncited by 0
  38. 2025Temporal Conformal Prediction (TCP): Rolling Calibration for Financial Risk Forecastingcited by 0

50 most cited of 71 All 71 (JSON)