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 (PACE), a heuristic method that maintains online conformal quantile calibrators with different window sizes, decay rates, and quantile scales. PACE combines the best-calibrated members through fitness-weighted top-K averaging and periodically refreshes the population using clonal selection. For context, Strongly Adaptive Online Conformal Prediction (SAOCP) is a benchmark method that combines online calibration experts operating over different time intervals and provides a formal strongly adaptive regret guarantee. PACE is heuristic and does not provide an analogous regret or coverage guarantee. We evaluate the method on two synthetic datasets and three real-world time series. Against five adaptive conformal baselines, PACE achieves higher empirical coverage during extreme regimes. Compared with SAOCP, it generally obtains higher coverage by producing wider intervals, resulting in less favorable interval scores on most datasets.
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.
Quantile Dynamically-Tuned Adaptive Conformal Inference (QDtACI) is proposed, a model-agnostic conformal calibration layer that constructs finite-sample intervals around any VaR forecast, using only the return series and the forecast itself, whose reliability tracks the quality of the underlying forecast.
Milo Ivancevic, K. Nguyen, Zhi-Yuan Luo· Risk Management· 0 citations
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.
Baishi Li, Kelvin J. L. Koa, Ke-Wei Huang· 1 citation
Conformal prediction has traditionally been used to quantify prediction uncertainty. We put that uncertainty to a second use, combining a 75% conformal interval with fractional Kelly to size portfolio positions: as the range widens we shrink the position, and as it narrows we grow it. On a six-year development window (...
A unified probabilistic perspective on CP and DRO is developed by viewing both as ways to turn finite calibration data into a data-dependent quantile estimator that a test score falls below with high probability.
Kehan Long, Yi-Qi Zhao, Pol Mestres et al.· 0 citations
JTS-SCB forms a bounded sensitivity envelope over candidate tilts, but its calibration-only construction does not inherit the exact finite-sample weighted-conformal guarantee, so experiments show that strong plug-in predictive sampling can match the oracle when the shift is well identified, while sensitivity analysis i...
Seung-Jin Choi· 0 citations
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