Beyond Marginal Validity: Finite-Sample Guarantees for Localized Conformal Prediction

arXiv:2608.06206 · stat.ML, cs.LG · Submitted 2026-08-06 · Read on arXiv

Anton Conrad, Rustam Isaev, Denis Belomestny, Eric Moulines, Sergey Samsonov

stat.ML, cs.LG

Submitted: 2026-08-06

Comments: 68 pages, 8 figures, 2 tables

License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/

Terminology

• Calibration — 107× in this paper · explained in 7 episodes
• Conformal Prediction — 19× in this paper · explained in 5 episodes
• Benchmark — 6× in this paper · explained in 2 episodes
• Adaptivity — 3× in this paper · explained in 1 episode
• Covariate Shift — 3× in this paper · explained in 2 episodes
• Exchangeability — 3× in this paper · explained in 2 episodes
• Verification — 3× in this paper · explained in 2 episodes
• Consistency — 2× in this paper · explained in 3 episodes
• Robustness — 2× in this paper · explained in 5 episodes
• Trace — 2× in this paper · explained in 2 episodes
• Adaptive Intervals — 1× in this paper · explained in 1 episode
• Admissibility — 1× in this paper · explained in 2 episodes
• Error Exponents — 1× in this paper · explained in 2 episodes
• Non-asymptotic Analysis — 1× in this paper · explained in 2 episodes

Sources

• Distributional conformal prediction
• Conformal prediction with localization
• A Unified Theory of Conditional Coverage in Conformal Prediction with Applications

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