Tag: predictioninterval

In this post we review different methods to compute prediction intervals, containing the next (unknown) observation with high probability and being at the heart of Conformal Prediction (CP). We will highlight that each method is characterized by a different and non-trivial trade-off between computational complexity, coverage properties and the size of the prediction interval. Scenario. We are…

Pimp quantile regression with strong coverage guarantees Suppose that we are given a historical dataset containing samples of the form , where and are the -th realizations of (predictor) variable and of (predicted) variable , respectively. As a running example, let us consider the following dataset: Our goal #1 is to estimate the trend of variable…

The importance of being uncertainty-aware. When making a prediction (in a regression or a classification setting) based on observed inputs , it is often important to know which range  the true value will fall in, with high confidence. For instance, a trader would be interested in knowing within which boundaries the stock price remains, rather than a…