SPACE: Sample-cloud Predictive Adaptive Conformal Ellipsoids for Multivariate Time-Series Forecasting
SPACE is proposed, a conformal wrapper for sample-generating multivariate forecasters that consistently brings realized joint and rolling coverage closer to the nominal target, achieving superior coverage-efficiency tradeoffs relative to competing wrappers.
Baishi Li, Kelvin J. L. Koa, Ke-Wei Huang
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