State-Matched Sequence Conformal Prediction (SMSCP) is a new method for sequential conformal prediction that builds a one‑sided local‑linear state from pre‑target data and uses state similarity to select a matched reference set of past calibration scores. By applying an ordinary unweighted conformal order statistic to this matched set, SMSCP aims to better capture the target score quantile when comparable states recur at nonadjacent times. Experiments on solar irradiance and bike‑demand data show that SMSCP improves interval scores over recency, weighted, adaptive, and HopCPT methods, and achieves coverage closer to the nominal 0.90 level than ResCP on most benchmarks.
Conformal prediction (CP) provides distribution-free prediction intervals for fixed forecasters, but its standard calibration procedure is often inefficient for time series data, where forecast errors are temporally dependent and change across time and operating conditions. Recent time series CP methods improve local calibration using recent, weighted, or localized residuals.
arXiv:2608. 10553v1 Announce Type: cross Abstract: Conformal prediction (CP) provides distribution-free prediction intervals for fixed forecasters, but its standard calibration procedure is often inefficient for time series data, where forecast errors are temporally dependent and change across time and operating conditions.
Dynamic Regime-Aware Conformal Prediction (DRACP) is a new method that blends density‑ratio estimation, localized kernel weighting, and probabilistic regime‑aware weighting with a self‑tuning online significance controller to produce reliable prediction intervals under multiple distribution shifts. The authors prove finite‑sample validity with oracle weights, provide a coverage‑gap bound for estimated weights, and give deterministic or regret guarantees for the online controller. In experiments on 48 real forecasting series—including euro‑area inflation, US macroeconomic and energy indicators, and daily financial data—DRACP achieves the most reliable calibration, maintaining coverage close to the nominal 0.90 and never falling below 0.80, while other methods achieve narrower intervals but with higher under‑coverage. whyItMatters":"DRACP offers a principled trade‑off between calibration and efficiency, ensuring that prediction intervals meet coverage standards even when economic data exhibit covariate shift, concept drift, and latent regimes."
arXiv:2607. 11470v1 Announce Type: cross Abstract: Reliable uncertainty quantification is essential for integrating solar and wind generation into modern power systems, where operators must weigh risk rather than act on point forecasts alone.
arXiv:2606. 15950v1 Announce Type: cross Abstract: Conformal prediction gives prediction intervals with finite-sample coverage when the data are exchangeable.
arXiv:2610.26987v1 Announce Type: cross Abstract: Quantifying uncertainty in time series forecasting is particularly demanding because sequential data exhibit temporal dependence and are prone to dis...
arXiv:2508.10336v3 Announce Type: replace-cross Abstract: In a supervised online setting, quantifying uncertainty has been proposed in the seminal work of Gibbs and Cand\`es (2021). For any given poi...
arXiv:2510. 15780v2 Announce Type: replace-cross Abstract: Artificial intelligence (AI) is increasingly used to support renewable energy forecasting and grid operations.
arXiv:2606. 09473v1 Announce Type: cross Abstract: Probabilistic forecasters are increasingly learned, yet the baselines they are compared against are often weak or omitted.
arXiv:2607. 16675v1 Announce Type: cross Abstract: A point prediction that is well calibrated on average can still be systematically biased conditional on its own value, undermining its use in downstream decision-making.
arXiv:2508. 13362v2 Announce Type: replace Abstract: Conformal prediction (CP) is well-suited for uncertainty quantification in time series forecasting due to its distribution-free coverage guarantees.
arXiv:2511. 04275v2 Announce Type: replace-cross Abstract: Conformal prediction has emerged as a powerful framework for constructing distribution-free prediction sets with guaranteed coverage assuming only the exchangeability assumption.