Shafer, Glenn and Vovk, Vladimir (2007) A tutorial on conformal prediction.
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Conformal prediction uses past experience to determine precise levels ofconfidence in new predictions. Given an error probability $\epsilon$, togetherwith a method that makes a prediction $\hat{y}$ of a label $y$, it produces aset of labels, typically containing $\hat{y}$, that also contains $y$ with probability $1-\epsilon$. Conformal prediction can be applied to any method for producing $\hat{y}$: a nearest-neighbor method, a support-vector machine, ridge regression, etc. Conformal prediction is designed for an on-line setting in which labels are predicted successively, each one being revealed before the next is predicted.The most novel and valuable feature of conformal prediction is that if the successive examples are sampled independently from the same distribution, then the successive predictions will be right $1-\epsilon$ of the time, even though they are based on an accumulating dataset rather than on independent datasets. In addition to the model under which successive examples are sampled independently, other on-line compression models can also use conformalprediction. The widely used Gaussian linear model is one of these. This tutorial presents a self-contained account of the theory of conformal prediction and works through several numerical examples. A more comprehensive treatment of the topic is provided in "Algorithmic Learning in a Random World", by Vladimir Vovk, Alex Gammerman, and Glenn Shafer (Springer, 2005).
This is a Submitted version This version's date is: 21/6/2007 This item is not peer reviewed
https://repository.royalholloway.ac.uk/items/a1589d23-8398-35ad-8728-717bc3b4039d/2/
Deposited by Research Information System (atira) on 24-Jul-2012 in Royal Holloway Research Online.Last modified on 24-Jul-2012
58 pages, 9 figures