Simulation-Augmented Multi-Step Split Conformal Prediction for Aggregated Forecasts
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Abstract (arXiv)
We study uncertainty quantification for aggregated forecasting tasks such as annual totals and year-over-year growth rates. We propose SA-MSCP, a simulation-augmented multi-step split conformal method that generates future paths from cross-validated residuals using a block bootstrap and constructs prediction intervals from empirical quantiles. Experiments show that SA-MSCP improves empirical coverage over a simulated-path baseline for aggregated and growth-rate targets. Our results demonstrate that simulation-enhanced conformal calibration is an effective and general framework for uncertainty quantification in aggregated time-series forecasting.
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References · 11
- 2016Distribution-Free Predictive Inference For Regressioncited by 668
- 2019Conformal Prediction Under Covariate Shiftcited by 519
- 2021Adaptive Conformal Inference Under Distribution Shiftcited by 375
- 2022Conformal prediction beyond exchangeabilitycited by 355
- 2023Conformal PID Control for Time Series Predictioncited by 88
- 2022Sequential Predictive Conformal Inference for Time Seriescited by 75
- 2022Copula Conformal Prediction for Multi-step Time Series Forecastingcited by 29
- 2024Conformalized Interval Arithmetic with Symmetric Calibrationcited by 8
- 2024Online conformal inference for multi-step time series forecastingcited by 8
- 2024Coverage-Guaranteed Prediction Sets for Out-of-Distribution Datacited by 5
- 2024Conformal Prediction for Hierarchical Datacited by 5
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