Predictive Inference in Multi-environment Scenarios

arXiv:2403.16336v1 Announce Type: cross
Abstract: We address the challenge of constructing valid confidence intervals and sets in problems of prediction across multiple environments. We investigate two types of coverage suitable for these problems, extending the jackknife and split-conformal methods to show how to obtain distribution-free coverage in such non-traditional, hierarchical data-generating scenarios. Our contributions also include extensions for settings with non-real-valued responses and a theory of consistency for predictive inference in these general problems. We demonstrate a novel resizing method …

abstract arxiv challenge confidence coverage cs.lg data distribution environment environments free hierarchical inference math.st multiple prediction predictive show stat.me stat.ml stat.th type types