Valid prediction intervals for regression problems

arXiv:2107.00363v4 Announce Type: replace-cross
Abstract: Over the last few decades, various methods have been proposed for estimating prediction intervals in regression settings, including Bayesian methods, ensemble methods, direct interval estimation methods and conformal prediction methods. An important issue is the calibration of these methods: the generated prediction intervals should have a predefined coverage level, without being overly conservative. In this work, we review the above four classes of methods from a conceptual and experimental point of view. Results on benchmark …

abstract arxiv bayesian coverage cs.lg ensemble generated interval issue prediction regression stat.ml type