mlsanityData to 7 Oct 2026

Kernel-based Optimally Weighted Conformal Time-Series Prediction

arXiv 2405.16828 ↗First posted 27 May 2024cs.LG math.ST stat.MLcited by 12

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Abstract (arXiv)

In this work, we present a novel conformal prediction method for time-series, which we call Kernel-based Optimally Weighted Conformal Prediction Intervals (KOWCPI). Specifically, KOWCPI adapts the classic Reweighted Nadaraya-Watson (RNW) estimator for quantile regression on dependent data and learns optimal data-adaptive weights. Theoretically, we tackle the challenge of establishing a conditional coverage guarantee for non-exchangeable data under strong mixing conditions on the non-conformity scores. We demonstrate the superior performance of KOWCPI on real and synthetic time-series data against state-of-the-art methods, where KOWCPI achieves narrower confidence intervals without losing coverage.

Key facts. Cited by 12 papers in the map (data through 7 Oct 2026). Builds on 25 of its 54 references that are in the map. First posted on arXiv 27 May 2024.

Builds on

25 of 54 references.

References · 25

  1. 2019Conformalized Quantile Regressioncited by 620
  2. 2019Conformal Prediction Under Covariate Shiftcited by 511
  3. 2021Adaptive Conformal Inference Under Distribution Shiftcited by 360
  4. 2022Conformal prediction beyond exchangeabilitycited by 348
  5. 2022Adaptive Conformal Predictions for Time Seriescited by 155
  6. 2023Conformal Prediction With Conditional Guaranteescited by 146
  7. 2022Conformal Inference for Online Prediction with Arbitrary Distribution Shiftscited by 123
  8. 2021Localized Conformal Prediction: A Generalized Inference Framework for Conformal Predictioncited by 112
  9. 2023Conformal PID Control for Time Series Predictioncited by 85
  10. 2016Scale-Free Online Learningcited by 83
  11. 2019A comparison of some conformal quantile regression methodscited by 76
  12. 2023Improved Online Conformal Prediction via Strongly Adaptive Online Learningcited by 76
13 more
  1. 2022Sequential Predictive Conformal Inference for Time Seriescited by 71
  2. 2019Adaptive, Distribution-Free Prediction Intervals for Deep Networkscited by 56
  3. 2020Predictive Inference Is Free with the Jackknife+-after-Bootstrapcited by 55
  4. 2020Conformal prediction for time seriescited by 53
  5. 2024Online conformal prediction with decaying step sizescited by 53
  6. 2023Conformal Prediction for Time Series with Modern Hopfield Networkscited by 40
  7. 2022Achieving Risk Control in Online Learning Settingscited by 38
  8. 2024Conformal prediction for multi-dimensional time series by ellipsoidal setscited by 37
  9. 2023Distribution-free inference with hierarchical datacited by 14
  10. 2021Conformal Anomaly Detection on Spatio-Temporal Observations with Missing Datacited by 12
  11. 2024Bellman Conformal Inference: Calibrating Prediction Intervals For Time Seriescited by 12
  12. 2022Conformal prediction set for time-seriescited by 5
  13. 2021Solar Radiation Ramping Events Modeling Using Spatio-temporal Point Processescited by 4

Built on by

Cited by year (2026 to 7 Oct)

Citing papers per year: 2024: 1; 2025: 5; 2026: 6.

12 papers.

  1. 2024Conformal Prediction: A Data Perspectivecited by 25
  2. 2025Relational Conformal Prediction for Correlated Time Seriescited by 11
  3. 2025Flow-based Conformal Prediction for Multi-dimensional Time Seriescited by 5
  4. 2026Leave a Window Out: Modifying the Jackknife for Predictive Inference in Time Seriescited by 4
  5. 2025ResCP: Reservoir Conformal Prediction for Time Series Forecastingcited by 3
  6. 2025Conformal Prediction-Driven Adaptive Sampling for Digital Water Twinscited by 1
  7. 2025Feature Fitted Online Conformal Prediction for Deep Time Series Forecasting Modelcited by 0
  8. 2026Optimal Spatio-Temporal Decoupling for Bayesian Conformal Predictioncited by 0
  9. 2026Online Conformal Prediction for Non-Exchangeable Panel Datacited by 0
  10. 2026DistMatch: Adaptive Binning via Distribution Matching for Robust Sequential Conformal Predictioncited by 0
  11. 2026Doubly Robust Adaptive Conformal Inference for Causal Effects Under Temporal Dependencecited by 0
  12. 2026TRACE-CRC: Trajectory-Adaptive Conformal Risk Control for Multi-Step Channel State Information Predictioncited by 0