Individualized Conformal

Fernando Delbianco () and Fernando Tohmé

No 247, Working Papers from Red Nacional de Investigadores en Economía (RedNIE)

Abstract: The problem of individualized prediction can be addressed using variants of conformal prediction, obtaining the intervals to which the actual values of the variables of interest belong. Here we present a method based on detecting the observations that may be relevant for a given question and then using simulated controls to yield the intervals for the predicted values. This method is shown to be adaptive and able to detect the presence of latent relevant variables.

Keywords: Conformal Prediction; Individualized Inference; Split and Jacknife Distribution-Free Inference. (search for similar items in EconPapers)
Pages: 19 pages
Date: 2023-05
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:aoz:wpaper:247

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