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CAS: A General Algorithm for Online Selective Conformal Prediction with FCR Control
March 13, 2024, 4:43 a.m. | Yajie Bao, Yuyang Huo, Haojie Ren, Changliang Zou
cs.LG updates on arXiv.org arxiv.org
Abstract: We study the problem of post-selection predictive inference in an online fashion. To avoid devoting resources to unimportant units, a preliminary selection of the current individual before reporting its prediction interval is common and meaningful in online predictive tasks. Since the online selection causes a temporal multiplicity in the selected prediction intervals, it is important to control the real-time false coverage-statement rate (FCR) to measure the averaged miscoverage error. We develop a general framework named …
abstract algorithm arxiv cas control cs.lg current fashion general inference interval prediction predictive reporting resources stat.me stat.ml study tasks type units
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