Chapter 11: The ML Pipeline

Conformal Prediction in Finance: Coverage, Exchangeability, and Drift advanced

Conformal prediction is attractive in finance because it gives finite-sample coverage without distributional assumptions, but its guarantee is only as good as the exchangeability you are willing to believe.

Conformal prediction is attractive in finance because it gives finite-sample coverage without distributional assumptions, but its guarantee is only as good as the exchangeability you are willing to believe.

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References

Conformal Prediction in Finance
(2024)
A Gentle Introduction to Conformal Prediction and Distribution-Free Uncertainty Quantification
Anastasios N. Angelopoulos, Stephen Bates (2022)
Conformal prediction beyond exchangeability
Rina Foygel Barber, Emmanuel J. Candès, Aaditya Ramdas, Ryan J. Tibshirani (2023) — The Annals of Statistics