# Kernel-based Optimally Weighted Conformal Time-Series Prediction

arXiv: https://arxiv.org/abs/2405.16828 · HTML: https://mlsanity.com/paper/2405.16828/

## Key facts

- Cited by 15 papers in the map (data through 14 Oct 2026).
- Builds on 25 of its 54 references that are in the map.
- First posted on arXiv 27 May 2024.

## Builds on (most cited first, 25 of 25)

- [Conformalized Quantile Regression](https://mlsanity.com/paper/1905.03222/) (2019)
- [Conformal Prediction Under Covariate Shift](https://mlsanity.com/paper/1904.06019/) (2019)
- [Adaptive Conformal Inference Under Distribution Shift](https://mlsanity.com/paper/2106.00170/) (2021)
- [Conformal prediction beyond exchangeability](https://mlsanity.com/paper/2202.13415/) (2022)
- [Adaptive Conformal Predictions for Time Series](https://mlsanity.com/paper/2202.07282/) (2022)
- [Conformal Prediction With Conditional Guarantees](https://mlsanity.com/paper/2305.12616/) (2023)
- [Conformal Inference for Online Prediction with Arbitrary Distribution Shifts](https://mlsanity.com/paper/2208.08401/) (2022)
- [Localized Conformal Prediction: A Generalized Inference Framework for Conformal Prediction](https://mlsanity.com/paper/2106.08460/) (2021)
- [Conformal PID Control for Time Series Prediction](https://mlsanity.com/paper/2307.16895/) (2023)
- [Scale-Free Online Learning](https://mlsanity.com/paper/1601.01974/) (2016)
- [Improved Online Conformal Prediction via Strongly Adaptive Online Learning](https://mlsanity.com/paper/2302.07869/) (2023)
- [A comparison of some conformal quantile regression methods](https://mlsanity.com/paper/1909.05433/) (2019)
- [Sequential Predictive Conformal Inference for Time Series](https://mlsanity.com/paper/2212.03463/) (2022)
- [Adaptive, Distribution-Free Prediction Intervals for Deep Networks](https://mlsanity.com/paper/1905.10634/) (2019)
- [Online conformal prediction with decaying step sizes](https://mlsanity.com/paper/2402.01139/) (2024)
- [Predictive Inference Is Free with the Jackknife+-after-Bootstrap](https://mlsanity.com/paper/2002.09025/) (2020)
- [Conformal prediction for time series](https://mlsanity.com/paper/2010.09107/) (2020)
- [Conformal Prediction for Time Series with Modern Hopfield Networks](https://mlsanity.com/paper/2303.12783/) (2023)
- [Achieving Risk Control in Online Learning Settings](https://mlsanity.com/paper/2205.09095/) (2022)
- [Conformal prediction for multi-dimensional time series by ellipsoidal sets](https://mlsanity.com/paper/2403.03850/) (2024)
- [Distribution-free inference with hierarchical data](https://mlsanity.com/paper/2306.06342/) (2023)
- [Bellman Conformal Inference: Calibrating Prediction Intervals For Time Series](https://mlsanity.com/paper/2402.05203/) (2024)
- [Conformal Anomaly Detection on Spatio-Temporal Observations with Missing Data](https://mlsanity.com/paper/2105.11886/) (2021)
- [Conformal prediction set for time-series](https://mlsanity.com/paper/2206.07851/) (2022)
- [Solar Radiation Ramping Events Modeling Using Spatio-temporal Point Processes](https://mlsanity.com/paper/2101.11179/) (2021)

## Built on by (most cited first, 15 of 15)

- [Conformal Prediction: A Data Perspective](https://mlsanity.com/paper/2410.06494/) (2024)
- [Relational Conformal Prediction for Correlated Time Series](https://mlsanity.com/paper/2502.09443/) (2025)
- [Flow-based Conformal Prediction for Multi-dimensional Time Series](https://mlsanity.com/paper/2502.05709/) (2025)
- [ResCP: Reservoir Conformal Prediction for Time Series Forecasting](https://mlsanity.com/paper/2510.05060/) (2025)
- [Leave a Window Out: Modifying the Jackknife for Predictive Inference in Time Series](https://mlsanity.com/paper/2605.30292/) (2026)
- [Conformal Prediction-Driven Adaptive Sampling for Digital Water Twins](https://mlsanity.com/paper/2511.05610/) (2025)
- [RareCP: Regime-Aware Retrieval for Efficient Conformal Prediction](https://mlsanity.com/paper/2605.08857/) (2026)
- [Feature Fitted Online Conformal Prediction for Deep Time Series Forecasting Model](https://mlsanity.com/paper/2505.08158/) (2025)
- [Optimal Spatio-Temporal Decoupling for Bayesian Conformal Prediction](https://mlsanity.com/paper/2605.00432/) (2026)
- [Online Conformal Prediction for Non-Exchangeable Panel Data](https://mlsanity.com/paper/2605.17705/) (2026)
- [DistMatch: Adaptive Binning via Distribution Matching for Robust Sequential Conformal Prediction](https://mlsanity.com/paper/2606.00690/) (2026)
- [Doubly Robust Adaptive Conformal Inference for Causal Effects Under Temporal Dependence](https://mlsanity.com/paper/2606.30500/) (2026)
- [TRACE-CRC: Trajectory-Adaptive Conformal Risk Control for Multi-Step Channel State Information Prediction](https://mlsanity.com/paper/2608.27124/) (2026)
- [The Premise Is the Problem: Exchangeability Failure in Self-Monitored Test-Time Adaptation](https://mlsanity.com/paper/2610.07038/) (2026)
- [State-Matched Sequence Conformal Prediction](https://mlsanity.com/paper/2610.19484/) (2026)

## 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.