# Attention-Based Feature Online Conformal Prediction for Time Series

arXiv: https://arxiv.org/abs/2511.15838 · HTML: https://mlsanity.com/paper/2511.15838/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 26 of its 36 references that are in the map.
- First posted on arXiv 19 Nov 2025.

## Builds on (most cited first, 26 of 26)

- [On Calibration of Modern Neural Networks](https://mlsanity.com/paper/1706.04599/) (2017)
- [Dropout as a Bayesian Approximation: Representing Model Uncertainty in Deep Learning](https://mlsanity.com/paper/1506.02142/) (2015)
- [Simple and Scalable Predictive Uncertainty Estimation using Deep Ensembles](https://mlsanity.com/paper/1612.01474/) (2016)
- [Language Models (Mostly) Know What They Know](https://mlsanity.com/paper/2207.05221/) (2022)
- [A Gentle Introduction to Conformal Prediction and Distribution-Free Uncertainty Quantification](https://mlsanity.com/paper/2107.07511/) (2021)
- [A Survey of Uncertainty in Deep Neural Networks](https://mlsanity.com/paper/2107.03342/) (2021)
- [Distribution-Free Predictive Inference For Regression](https://mlsanity.com/paper/1604.04173/) (2016)
- [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 Inference for Online Prediction with Arbitrary Distribution Shifts](https://mlsanity.com/paper/2208.08401/) (2022)
- [Safe Planning in Dynamic Environments using Conformal Prediction](https://mlsanity.com/paper/2210.10254/) (2022)
- [Theoretical Foundations of Conformal Prediction](https://mlsanity.com/paper/2411.11824/) (2024)
- [Conformal PID Control for Time Series Prediction](https://mlsanity.com/paper/2307.16895/) (2023)
- [Improved Online Conformal Prediction via Strongly Adaptive Online Learning](https://mlsanity.com/paper/2302.07869/) (2023)
- [Sequential Predictive Conformal Inference for Time Series](https://mlsanity.com/paper/2212.03463/) (2022)
- [Conformal Prediction for Time Series with Modern Hopfield Networks](https://mlsanity.com/paper/2303.12783/) (2023)
- [Predictive Inference with Feature Conformal Prediction](https://mlsanity.com/paper/2210.00173/) (2022)
- [Forking Uncertainties: Reliable Prediction and Model Predictive Control with Sequence Models via Conformal Risk Control](https://mlsanity.com/paper/2310.10299/) (2023)
- [Localized Adaptive Risk Control](https://mlsanity.com/paper/2405.07976/) (2024)
- [Group-Weighted Conformal Prediction](https://mlsanity.com/paper/2401.17452/) (2024)
- [Conformal Calibration: Ensuring the Reliability of Black-Box AI in Wireless Systems](https://mlsanity.com/paper/2504.09310/) (2025)
- [Cross-Validation Conformal Risk Control](https://mlsanity.com/paper/2401.11974/) (2024)
- [Calibrating Bayesian Learning via Regularization, Confidence Minimization, and Selective Inference](https://mlsanity.com/paper/2404.11350/) (2024)
- [Comparing Uncertainty Measurement and Mitigation Methods for Large Language Models: A Systematic Review](https://mlsanity.com/paper/2504.18346/) (2025)

## Abstract (arXiv)

Online conformal prediction (OCP) wraps around any pre-trained predictor to produce prediction sets with coverage guarantees that hold irrespective of temporal dependencies or distribution shifts. However, standard OCP faces two key limitations: it operates in the output space using simple nonconformity (NC) scores, and it treats all historical observations uniformly when estimating quantiles. This paper introduces attention-based feature OCP (AFOCP), which addresses both limitations through two key innovations. First, AFOCP operates in the feature space of pre-trained neural networks, leveraging learned representations to construct more compact prediction sets by concentrating on task-relevant information while suppressing nuisance variation. Second, AFOCP incorporates an attention mechanism that adaptively weights historical observations based on their relevance to the current test point, effectively handling non-stationarity and distribution shifts. We provide theoretical guarantees showing that AFOCP maintains long-term coverage while provably achieving smaller prediction intervals than standard OCP under mild regularity conditions. Extensive experiments on synthetic and real-world time series datasets demonstrate that AFOCP consistently reduces the size of prediction intervals by as much as 88% as compared to OCP, while maintaining target coverage levels, validating the benefits of both feature-space calibration and attention-based adaptive weighting.