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Universal Prediction Band via Semi-Definite Programming

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  • Tengyuan Liang

Abstract

We propose a computationally efficient method to construct nonparametric, heteroscedastic prediction bands for uncertainty quantification, with or without any user-specified predictive model. Our approach provides an alternative to the now-standard conformal prediction for uncertainty quantification, with novel theoretical insights and computational advantages. The data-adaptive prediction band is universally applicable with minimal distributional assumptions, has strong non-asymptotic coverage properties, and is easy to implement using standard convex programs. Our approach can be viewed as a novel variance interpolation with confidence and further leverages techniques from semi-definite programming and sum-of-squares optimization. Theoretical and numerical performances for the proposed approach for uncertainty quantification are analyzed.

Suggested Citation

  • Tengyuan Liang, 2021. "Universal Prediction Band via Semi-Definite Programming," Papers 2103.17203, arXiv.org, revised Jan 2023.
  • Handle: RePEc:arx:papers:2103.17203
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    References listed on IDEAS

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    1. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    2. Victor Chernozhukov & Christian Hansen, 2005. "An IV Model of Quantile Treatment Effects," Econometrica, Econometric Society, vol. 73(1), pages 245-261, January.
    3. Tengyuan Liang & Pragya Sur, 2020. "A Precise High-Dimensional Asymptotic Theory for Boosting and Minimum-L1-Norm Interpolated Classifiers," Working Papers 2020-152, Becker Friedman Institute for Research In Economics.
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