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.
Abstract
Modern probabilistic time-series forecasters often express uncertainty through forecast samples. While typically converted into nominal prediction regions using empirical quantiles, these model-implied sets lack formal coverage guarantees and frequently deviate from nominal targets under distribution shift. Existing multivariate conformal methods can calibrate these regions online, but they typically estimate geometry from historical residuals using fixed or accumulating look-back windows. This reliance on the past limits their ability to exploit the instantaneous dependence structure of current predictions and leaves them vulnerable to stale-regime contamination. To address this, we propose SPACE, a conformal wrapper for sample-generating multivariate forecasters. SPACE constructs ellipsoidal joint prediction regions by estimating time-local covariance geometry directly from the current forecast sample cloud, calibrating the region's radius via a dynamic backward window-selection scheme. Across diverse multivariate datasets, probabilistic forecasters, and conformal baselines, SPACE consistently brings realized joint and rolling coverage closer to the nominal target, achieving superior coverage-efficiency tradeoffs relative to competing wrappers.
ABF-T-GLCP, a model-agnostic framework for forecasting and uncertainty quantification in nonstationary multivariate time series, shows consistent gains in point forecasting accuracy and substantially narrower prediction intervals with empirical coverage close to the nominal level.
The proposed Dynamic Regime-Aware Conformal Prediction (DRACP), which combines density-ratio, localized kernel and probabilistic regime-aware weighting with a self-tuning online significance controller in a unified weighted conformal calibration framework, provides the most reliable calibration.
Online conformal prediction methods such as Adaptive Conformal Inference (ACI) and Fully Adaptive Conformal Inference (FACI) adjust prediction intervals under distribution shift, but their calibration is based on a common stream of recent nonconformity scores. We introduce Population-based Adaptive Conformal Ensembles...
Marzieh Amiri Shahbazi, Ali Baheri· Forecasting· 0 citations
Cross-Asset Graph Conformal Prediction (CA-GCP), a framework that pools volatility-normalized nonconformity scores across the correlation-graph neighborhood of each target asset using a proximity-and recency-weighted quantile, grounded in the theory of weighted conformal prediction, is proposed.
KReF, a training-free retrieval framework that treats retrieved historical futures as a query local empirical predictive distribution, is proposed, establishing retrieval as a useful and underexplored inductive bias for LTSF.
Cross-Asset Graph Conformal Prediction (CA-GCP), a framework that pools volatility-normalized nonconformity scores across the correlation-graph neighborhood of each target asset using a proximity- and recency-weighted quantile, grounded in the theory of weighted conformal prediction, is proposed.
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MIT News · Artificial Intelligence· news.mit.eduSep 29, 2026
Professor Sherry Turkle’s new book, “Artificial Intimacy,” offers a withering critique of chatbots and the antisocial dynamics she believes they encourage.