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Poster
Conformal Prediction with Temporal Quantile Adjustments
Zhen Lin · Shubhendu Trivedi · Jimeng Sun

Tue Nov 29 02:00 PM -- 04:00 PM (PST) @ Hall J #717
in Poster Session 2 »
We develop Temporal Quantile Adjustment (TQA), a general method to construct efficient and valid prediction intervals (PIs) for regression on cross-sectional time series data. Such data is common in many domains, including econometrics and healthcare. A canonical example in healthcare is predicting patient outcomes using physiological time-series data, where a population of patients composes a cross-section. Reliable PI estimators in this setting must address two distinct notions of coverage: cross-sectional coverage across a cross-sectional slice, and longitudinal coverage along the temporal dimension for each time series. Recent works have explored adapting Conformal Prediction (CP) to obtain PIs in the time series context. However, none handles both notions of coverage simultaneously. CP methods typically query a pre-specified quantile from the distribution of nonconformity scores on a calibration set. TQA adjusts the quantile to query in CP at each time $t$, accounting for both cross-sectional and longitudinal coverage in a theoretically-grounded manner. The post-hoc nature of TQA facilitates its use as a general wrapper around any time series regression model. We validate TQA's performance through extensive experimentation: TQA generally obtains efficient PIs and improves longitudinal coverage while preserving cross-sectional coverage.
Keywords: uncertainty quantification · Time Series Forecasting · conformal prediction · cross-sectional data · time series regression · prediction interval
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Author Information

Zhen Lin (University of Illinois, Urbana Champaign)
Shubhendu Trivedi (MIT)
Jimeng Sun (University of Illinois, Urbana Champaign)

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