Predictive inference for time series: why is split conformal effective despite temporal dependence?
arXiv:2510.02471v2 Announce Type: replace Abstract: We consider the problem of uncertainty quantification for prediction in a time series: if we use past data to forecast the next time point, can we provide valid prediction intervals around our forecasts? To avoid placing distributional assumptions on the data, in recent years the conformal prediction method has been a popular approach for predictive inference, since it provides distribution-free coverage for any iid or exchangeable data distribution. However, in the time series […]