DistMatch: Adaptive Binning via Distribution Matching for Robust Sequential Conformal Prediction

Sequential conformal prediction (CP) provides valid uncertainty quantification under the assumption of residual exchangeability. However, this assumption is often violated in real-world time series due to temporal dependencies and distributional shifts. While recent methods attempt to approximate exchangeability through reweighting, identifying optimal weights remains an open challenge. To address this limitation, we propose DistMatch, a binning-based method that recursively partitions residuals within a binary tree using the Kolmogorov–Smirnov (KS) statistic. We theoretically show that this partitioning induces approximately exchangeable leaves, thereby avoiding the need for reweighting. By applying quantile regression with online updates within each leaf, DistMatch enables locally adaptive inference and improves robustness to distributional shifts. Extensive experiments demonstrate that DistMatch outperforms existing sequential CP methods.