# RareCP: Regime-Aware Retrieval for Efficient Conformal Prediction

arXiv: https://arxiv.org/abs/2605.08857 · HTML: https://mlsanity.com/paper/2605.08857/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- Builds on 37 of its 54 references that are in the map.
- First posted on arXiv 9 May 2026.

## Builds on (most cited first, 30 of 37)

- [Distilling the Knowledge in a Neural Network](https://mlsanity.com/paper/1503.02531/) (2015)
- [Retrieval-Augmented Generation for Knowledge-Intensive NLP Tasks](https://mlsanity.com/paper/2005.11401/) (2020)
- [FitNets: Hints for Thin Deep Nets](https://mlsanity.com/paper/1412.6550/) (2014)
- [HyperNetworks](https://mlsanity.com/paper/1609.09106/) (2016)
- [Chronos: Learning the Language of Time Series](https://mlsanity.com/paper/2403.07815/) (2024)
- [A decoder-only foundation model for time-series forecasting](https://mlsanity.com/paper/2310.10688/) (2023)
- [Distribution-Free Predictive Inference For Regression](https://mlsanity.com/paper/1604.04173/) (2016)
- [Unified Training of Universal Time Series Forecasting Transformers](https://mlsanity.com/paper/2402.02592/) (2024)
- [Conformal Prediction Under Covariate Shift](https://mlsanity.com/paper/1904.06019/) (2019)
- [Conformal prediction beyond exchangeability](https://mlsanity.com/paper/2202.13415/) (2022)
- [Continual learning with hypernetworks](https://mlsanity.com/paper/1906.00695/) (2019)
- [Personalized Federated Learning using Hypernetworks](https://mlsanity.com/paper/2103.04628/) (2021)
- [GIFT-Eval: A Benchmark For General Time Series Forecasting Model Evaluation](https://mlsanity.com/paper/2410.10393/) (2024)
- [Predictive inference with the jackknife+](https://mlsanity.com/paper/1905.02928/) (2019)
- [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)
- [TiRex: Zero-Shot Forecasting Across Long and Short Horizons with Enhanced In-Context Learning](https://mlsanity.com/paper/2505.23719/) (2025)
- [Lag-Llama: Towards Foundation Models for Probabilistic Time Series Forecasting](https://mlsanity.com/paper/2310.08278/) (2023)
- [Learning Optimal Conformal Classifiers](https://mlsanity.com/paper/2110.09192/) (2021)
- [Distribution-free uncertainty quantification for classification under label shift](https://mlsanity.com/paper/2103.03323/) (2021)
- [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)
- [From Tables to Time: Extending TabPFN-v2 to Time Series Forecasting](https://mlsanity.com/paper/2501.02945/) (2025)
- [Selection and Aggregation of Conformal Prediction Sets](https://mlsanity.com/paper/2104.13871/) (2021)
- [Toto: Time Series Optimized Transformer for Observability](https://mlsanity.com/paper/2407.07874/) (2024)
- [Conformal Prediction for Time Series with Modern Hopfield Networks](https://mlsanity.com/paper/2303.12783/) (2023)
- [TS-RAG: Retrieval-Augmented Generation based Time Series Foundation Models are Stronger Zero-Shot Forecaster](https://mlsanity.com/paper/2503.07649/) (2025)
- [Retrieval-Augmented Diffusion Models for Time Series Forecasting](https://mlsanity.com/paper/2410.18712/) (2024)
- [Predictive Inference with Feature Conformal Prediction](https://mlsanity.com/paper/2210.00173/) (2022)
- [Boosted Conformal Prediction Intervals](https://mlsanity.com/paper/2406.07449/) (2024)

## Built on by (most cited first, 1 of 1)

- [JudgeCast: Time Series Forecasting with Experience-Informed Covariate Judgements](https://mlsanity.com/paper/2609.36966/) (2026)

## Abstract (arXiv)

Recent advances in uncertainty quantification for time series forecasting show that conformal prediction can provide reliable prediction intervals, yet standard conformal methods are often inefficient under temporal dependence, drift, and heterogeneous error behavior. Existing methods typically either update miscoverage rates over time or learn unconstrained calibration weights, without explicitly separating two central sources of nonstationarity: smoothly drifting error distributions and co-existing distinct error regimes. We introduce RareCP, a regime-aware retrieval method for adaptive conformal time series prediction. RareCP learns local calibration representations through a mixture of cosine-attention experts that each capture distinct error regimes, while a compact hypernetwork adapts the kernel parameters to track temporal drift. Given a new forecasting context, RareCP retrieves the top-k most relevant calibration examples, assigns similarity weights, and forms a weighted conformal quantile over their signed residuals, yielding asymmetric prediction intervals. The adaptive kernel is trained using a smooth interval score objective, with a parameter-space anchor to a lightweight teacher kernel to preserve stable local representations. On the GIFT-Eval benchmark, RareCP improves interval efficiency over recent conformal baselines and foundation model uncertainty estimates while maintaining empirical coverage. Ablations confirm that regime-specific experts, drift-adaptive kernels, sparse retrieval, and teacher anchoring each contribute to the final performance.