Valid and Efficient Split Conformal Regression for Time Series

arXiv:2609.33866 · math.ST, stat.ML, stat.TH · Submitted 2026-09-27 · Read on arXiv

math.ST, stat.ML, stat.TH

Submitted: 2026-09-27

Updated: 2026-09-27

Terminology

• Calibration — 100× in this paper · explained in 7 episodes
• Conformal Prediction — 14× in this paper · explained in 5 episodes
• Accuracy — 6× in this paper · explained in 1 episode
• Exchangeability — 4× in this paper · explained in 2 episodes
• New York Independent System Operator — 3× in this paper
• Verification — 2× in this paper · explained in 2 episodes
• Consistency — 1× in this paper · explained in 3 episodes
• Decoupling — 1× in this paper · explained in 2 episodes
• Distribution Shift — 1× in this paper · explained in 5 episodes
• Error Exponents — 1× in this paper · explained in 2 episodes
• Non-asymptotic Analysis — 1× in this paper · explained in 2 episodes

Sources

• Rolling-Origin Conformal Prediction under Local Stationarity and Weak Dependence
• Leave a Window Out: Modifying the Jackknife for Predictive Inference in Time Series

Related papers

• Conformal Prediction for Dyadic Regression Under Complex Missingness
• Bentkus-type asymptotic e-values
• High-Dimensional Asymptotics of Differentially Private PCA
• KL Convergence Guarantees for Score diffusion models under minimal data assumptions
• Geometric bias in eigenspace perturbation under random heterogeneous noise
• On the Asymptotic Inadmissibility of Double Machine Learning Estimators Under Structure-Agnostic Models