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Exact and robust conformal inference methods for predictive machine learning with dependent data

Author

Listed:
  • Victor Chernozhukov

    (Institute for Fiscal Studies and MIT)

  • Kaspar Wüthrich

    (Institute for Fiscal Studies and UCSD)

  • Yinchu Zhu

    (Institute for Fiscal Studies)

Abstract

We extend conformal inference to general settings that allow for time series data. Our proposal is developed as a randomization method and accounts for potential serial dependence by including block structures in the permutation scheme. As a result, the proposed method retains the exact, model-free validity when the data are i.i.d. or more generally exchangeable, similar to usual conformal inference methods. When exchangeability fails, as is the case for common time series data, the proposed approach is approximately valid under weak assumptions on the conformity score.

Suggested Citation

  • Victor Chernozhukov & Kaspar Wüthrich & Yinchu Zhu, 2018. "Exact and robust conformal inference methods for predictive machine learning with dependent data," CeMMAP working papers CWP16/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    • Handle: RePEc:ifs:cemmap:16/18
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    References listed on IDEAS

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    1. Victor Chernozhukov & Kaspar Wüthrich & Yinchu Zhu, 2021. "An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 116(536), pages 1849-1864, October.
    2. Jing Lei & Larry Wasserman, 2014. "Distribution-free prediction bands for non-parametric regression," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 76(1), pages 71-96, January.
    3. Jing Lei & James Robins & Larry Wasserman, 2013. "Distribution-Free Prediction Sets," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(501), pages 278-287, March.
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    Cited by:

    1. Dean Fantazzini, 2024. "Adaptive Conformal Inference for Computing Market Risk Measures: An Analysis with Four Thousand Crypto-Assets," JRFM, MDPI, vol. 17(6), pages 1-44, June.
    2. Ajroldi, Niccolò & Diquigiovanni, Jacopo & Fontana, Matteo & Vantini, Simone, 2023. "Conformal prediction bands for two-dimensional functional time series," Computational Statistics & Data Analysis, Elsevier, vol. 187(C).
    3. Borgschulte, Mark & Vogler, Jacob, 2020. "Did the ACA Medicaid expansion save lives?," Journal of Health Economics, Elsevier, vol. 72(C).
    4. Federico A. Bugni & Jia Li & Qiyuan Li, 2023. "Permutation‐based tests for discontinuities in event studies," Quantitative Economics, Econometric Society, vol. 14(1), pages 37-70, January.
    5. Victor Chernozhukov & Kaspar Wuthrich & Yinchu Zhu, 2019. "Distributional conformal prediction," Papers 1909.07889, arXiv.org, revised Aug 2021.
    6. Viviano, Davide & Bradic, Jelena, 2023. "Synthetic Learner: Model-free inference on treatments over time," Journal of Econometrics, Elsevier, vol. 234(2), pages 691-713.
    7. Matteo Fontana & Gianluca Zeni & Simone Vantini, 2020. "Conformal Prediction: a Unified Review of Theory and New Challenges," Papers 2005.07972, arXiv.org, revised Jul 2022.
    8. Varun Gupta & Christopher Jung & Georgy Noarov & Mallesh M. Pai & Aaron Roth, 2021. "Online Multivalid Learning: Means, Moments, and Prediction Intervals," Papers 2101.01739, arXiv.org.

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    More about this item

    Keywords

    Conformal inference; permutation and randomization; dependent data; groups;
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