Nested conformal prediction and quantile out-of-bag ensemble methods. (arXiv:1910.10562v4 [stat.ME] UPDATED)

Conformal prediction is a popular tool for providing valid prediction sets
for classification and regression problems, without relying on any
distributional assumptions on the data. While the traditional description of
conformal prediction starts with a nonconformity score, we provide an alternate
(but equivalent) view that starts with a sequence of nested sets and calibrates
them to find a valid prediction set. The nested framework subsumes all
nonconformity scores, including recent proposals based on quantile regression
and density estimation. While these …

arxiv bag ensemble prediction quantile