mlsanityData to 14 Oct 2026

Conformal prediction for multi-dimensional time series by ellipsoidal sets

arXiv 2403.03850 ↗First posted 6 Mar 2024stat.ML cs.LGcited by 37

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Abstract (arXiv)

Conformal prediction (CP) has been a popular method for uncertainty quantification because it is distribution-free, model-agnostic, and theoretically sound. For forecasting problems in supervised learning, most CP methods focus on building prediction intervals for univariate responses. In this work, we develop a sequential CP method called textttMultiDimSPCI that builds prediction textitregions for a multivariate response, especially in the context of multivariate time series, which are not exchangeable. Theoretically, we estimate textitfinite-sample high-probability bounds on the conditional coverage gap. Empirically, we demonstrate that textttMultiDimSPCI maintains valid coverage on a wide range of multivariate time series while producing smaller prediction regions than CP and non-CP baselines.

Key facts. Cited by 37 papers in the map (data through 14 Oct 2026). Builds on 28 of its 49 references that are in the map. First posted on arXiv 6 Mar 2024.

Builds on

28 of 49 references.

References · 28

  1. 2017DeepAR: Probabilistic Forecasting with Autoregressive Recurrent Networkscited by 1,013
  2. 2019Temporal Fusion Transformers for Interpretable Multi-horizon Time Series Forecastingcited by 761
  3. 2019Conformal Prediction Under Covariate Shiftcited by 519
  4. 2020Classification with Valid and Adaptive Coveragecited by 396
  5. 2021Adaptive Conformal Inference Under Distribution Shiftcited by 375
  6. 2020Uncertainty Sets for Image Classifiers using Conformal Predictioncited by 366
  7. 2022Conformal prediction beyond exchangeabilitycited by 355
  8. 2019Predictive inference with the jackknife+cited by 211
  9. 2022Adaptive Conformal Predictions for Time Seriescited by 161
  10. 2020Conformal Prediction: a Unified Review of Theory and New Challengescited by 118
  11. 2023Conformal PID Control for Time Series Predictioncited by 88
  12. 2023Uncertainty Quantification over Graph with Conformalized Graph Neural Networkscited by 79
16 more
  1. 2022Sequential Predictive Conformal Inference for Time Seriescited by 75
  2. 2020Predictive Inference Is Free with the Jackknife+-after-Bootstrapcited by 55
  3. 2020Conformal prediction for time seriescited by 53
  4. 2021Copula-based conformal prediction for Multi-Target Regressioncited by 53
  5. 2021Calibrated Multiple-Output Quantile Regression with Representation Learningcited by 50
  6. 2021Conformal Prediction Bands for Multivariate Functional Datacited by 29
  7. 2022Conformal Prediction with Temporal Quantile Adjustmentscited by 25
  8. 2017Inductive Conformal Martingales for Change-Point Detectioncited by 19
  9. 2023Conformalized matrix completioncited by 13
  10. 2021Conformal Anomaly Detection on Spatio-Temporal Observations with Missing Datacited by 12
  11. 2021Distribution-Free Prediction Bands for Multivariate Functional Time Series: an Application to the Italian Gas Marketcited by 7
  12. 2023Randomization Tests for Adaptively Collected Datacited by 7
  13. 2022Spatio-Temporal Wildfire Prediction using Multi-Modal Datacited by 6
  14. 2022Conformal prediction set for time-seriescited by 5
  15. 2021Solar Radiation Ramping Events Modeling Using Spatio-temporal Point Processescited by 4
  16. 2023Joint Coverage Regions: Simultaneous Confidence and Prediction Setscited by 4

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Cited by year (2026 to 14 Oct)

Citing papers per year: 2024: 9; 2025: 19; 2026: 9.

37 papers.

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  1. 2024Conformal Prediction: A Data Perspectivecited by 25
  2. 2024Kernel-based Optimally Weighted Conformal Time-Series Predictioncited by 15
  3. 2025Relational Conformal Prediction for Correlated Time Seriescited by 11
  4. 2024Spatial Conformal Inference through Localized Quantile Regressioncited by 6
  5. 2025Volume-Sorted Prediction Set: Efficient Conformal Prediction for Multi-Target Regressioncited by 6
  6. 2024Conformal Prediction for Hierarchical Datacited by 5
  7. 2025Flow-based Conformal Prediction for Multi-dimensional Time Seriescited by 5
  8. 2025ResCP: Reservoir Conformal Prediction for Time Series Forecastingcited by 5
  9. 2025Conformal Inference for Time Series over Graphscited by 5
  10. 2025Calibrating Decision Robustness via Inverse Conformal Risk Controlcited by 4
  11. 2026Leave a Window Out: Modifying the Jackknife for Predictive Inference in Time Seriescited by 4
  12. 2024Conformal time series decomposition with component-wise exchangeabilitycited by 3
25 more
  1. 2024JANET: Joint Adaptive predictioN-region Estimation for Time-seriescited by 3
  2. 2025Topology-Aware Conformal Prediction for Stream Networkscited by 3
  3. 2025Conformal Prediction in The Loop: A Feedback-Based Uncertainty Model for Trajectory Optimizationcited by 3
  4. 2024Hierarchical Probabilistic Conformal Prediction for Distributed Energy Resources Adoptioncited by 2
  5. 2025Conformal and kNN Predictive Uncertainty Quantification Algorithms in Metric Spacescited by 2
  6. 2025Zono-Conformal Prediction: Zonotope-Based Uncertainty Quantification for Regression and Classification Taskscited by 2
  7. 2025Towards Trustworthy Vital Sign Forecasting: Leveraging Uncertainty for Prediction Intervalscited by 2
  8. 2025SpeedCP: Fast Kernel-based Conditional Conformal Predictioncited by 2
  9. 2025Learning Confidence Ellipsoids and Applications to Robust Subspace Recoverycited by 2
  10. 2024Single Trajectory Conformal Predictioncited by 1
  11. 2024Conformalised Conditional Normalising Flows for Joint Prediction Regions in time seriescited by 1
  12. 2025Mitigating Data Scarcity in Time Series Analysis: A Foundation Model with Series-Symbol Data Generationcited by 1
  13. 2026A Kernel Nonconformity Score for Multivariate Conformal Predictioncited by 1
  14. 2026Learning Polyhedral Conformal Sets for Robust Optimizationcited by 1
  15. 2025CONTINA: Confidence Interval for Traffic Demand Prediction with Coverage Guaranteecited by 0
  16. 2025Feature Fitted Online Conformal Prediction for Deep Time Series Forecasting Modelcited by 0
  17. 2025Ellipsoidal Time Series Forecastingcited by 0
  18. 2025Foundation Model Forecasts: Form and Functioncited by 0
  19. 2025The Evolution of Probabilistic Price Forecasting Techniques: A Review of the Day-Ahead, Intra-Day, and Balancing Marketscited by 0
  20. 2026Multi-Variable Conformal Prediction: Optimizing Prediction Sets without Data Splittingcited by 0
  21. 2026Conformal Reliability: A New Evaluation Metric for Conditional Generationcited by 0
  22. 2026Filtered Conformal Ellipsoids for Graph-Native Time Seriescited by 0
  23. 2026SPACE: Sample-cloud Predictive Adaptive Conformal Ellipsoids for Multivariate Time-Series Forecastingcited by 0
  24. 2026Tail-Aware Geometry Learning for Conformal Ellipsoidscited by 0
  25. 2026Multivariate conformal uncertainty propagation in multitask atomistic simulation: Successes and pitfallscited by 0