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We propose a robust method for constructing conditionally valid prediction intervals based on models for conditional distributions such as quantile and distribution regression.
Efficient and minimal length parametric conformal prediction regions
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Global nonparametric estimation of conditional quantile functions and their derivatives
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Dedecker, J. and Louhichi, S. (2002) · 2002
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hdm: High-dimensional metrics
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Asymptotic Theory of Weakly Dependent Random Processes
Rio, E. (2017) · 2017
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Weak dependence
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Cd-split and hpd-split: efficient conformal regions in high dimensions
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L1-norm quantile regression
Li, Y. and Zhu, J. (2008) · 2008
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Improving point and interval estimators of monotone functions by rearrangement
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On-line predictive linear regression
Vovk, V., Nouretdinov, I., and Gammerman, A. (2009) · 2009
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Variable selection in quantile regression
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Exact and robust conformal inference methods for predictive machine learning with dependent data
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