Conformal Prediction: a Unified Review of Theory and New Challenges

1 code implementation • 16 May 2020 • Matteo Fontana, Gianluca Zeni, Simone Vantini

In this work we provide a review of basic ideas and novel developments about Conformal Prediction -- an innovative distribution-free, non-parametric forecasting method, based on minimal assumptions -- that is able to yield in a very straightforward way predictions sets that are valid in a statistical sense also in in the finite sample case.

Conformal Prediction valid