Conformal e-prediction

• URL: http://arxiv.org/abs/2001.05989v4
• Date: Sat, 02 Nov 2024 12:03:34 GMT
• Title: Conformal e-prediction
• Authors: Vladimir Vovk,
• Abstract summary: Conformal e-prediction is conceptually simpler and had been developed in the 1990s as precursor of conformal prediction. This paper re-examines relations between conformal prediction and conformal e-prediction systematically from a modern perspective.
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• Abstract: This paper discusses a counterpart of conformal prediction for e-values, conformal e-prediction. Conformal e-prediction is conceptually simpler and had been developed in the 1990s as precursor of conformal prediction. When conformal prediction emerged as result of replacing e-values by p-values, it seemed to have important advantages over conformal e-prediction without obvious disadvantages. This paper re-examines relations between conformal prediction and conformal e-prediction systematically from a modern perspective. Conformal e-prediction has advantages of its own, such as the ease of designing conditional conformal e-predictors and the guaranteed validity of cross-conformal e-predictors (whereas for cross-conformal predictors validity is only an empirical fact and can be broken with excessive randomization). Even where conformal prediction has clear advantages, conformal e-prediction can often emulate those advantages, more or less successfully.

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