Pre-Recorded Talk
in
Workshop: Workshop on Distribution-Free Uncertainty Quantification

Multi Split Conformal Prediction (Spotlight #10)

Aldo Solari ⋅ Vera Djordjilovic

2021 Pre-Recorded Talk
in
Workshop: Workshop on Distribution-Free Uncertainty Quantification

Abstract

Split conformal prediction is a computationally e cient method for performing distribution-free predictive inference in regression. It involves, however, a one-time random split of the data, and the result can strongly depend on the particular split. To address this problem, we propose multi split conformal prediction, a simple method based on Markov's inequality to aggregate split conformal prediction intervals across multiple splits.

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