In-Sample Calibration Yields Conformal Calibration Guarantees
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Series
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Speaker(s)Johanna Ziegel (ETH Zurich, Switzerland)
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FieldEconometrics, Data Science and Econometrics
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LocationErasmus University Rotterdam, Campus Woudestein, ET-14
Rotterdam -
Date and time
November 06, 2025
12:00 - 13:00
Abstract
Conformal predictive systems allow forecasters to issue predictive distributions for real-valued future outcomes that have out-of-sample calibration guarantees. On a more abstract level, conformal prediction makes use of in-sample calibration guarantees to construct bands of predictions with out-of-sample guarantees under exchangeability. The calibration guarantees are typically that prediction intervals derived from the predictive distributions have the correct marginal coverage. We extend this line of reasoning to stronger notions of calibration that are common in statistical forecasting theory.
Joint work with Sam Allen, Georgios
Gavrilopoulos, Alexander Henzi, and Gian-Reto Kleger.