2024-09-10-galvao-lopes24a.md

title	booktitle	year	volume	series	month	publisher	pdf	url	abstract	layout	issn	id	tex_title	firstpage	lastpage	page	order	cycles	bibtex_editor	editor	bibtex_author	author	date	address	container-title	genre	issued	extras
ConForME: Multi-horizon conditional conformal time series forecasting	Proceedings of the Thirteenth Symposium on Conformal and Probabilistic Prediction with Applications	2024	230	Proceedings of Machine Learning Research	0	PMLR	https://raw.githubusercontent.com/mlresearch/v230/main/assets/galvao-lopes24a/galvao-lopes24a.pdf	https://proceedings.mlr.press/v230/galvao24a.html	Split conformal prediction is a statistical method known for its finite-sample coverage guarantees, simplicity, and low computational cost. As such, it is suitable for predicting uncertainty regions in time series forecasting. However, in the context of multi-horizon forecasting, the current literature lacks conformal methods that produce efficient intervals and have low computational cost. Building on the foundation of split conformal prediction and one of its most prominent extensions to multi-horizon time series forecasting (CF-RNN), we introduce ConForME, a method that leverages the time dependence within time series to construct efficient multi-horizon prediction intervals with probabilistic joint coverage guarantees. We prove its validity and support our claims with experiments on both synthetic and real-world data. Across all instances, our method outperforms CF-RNN in terms of mean, min, and max interval sizes over the entire prediction horizon, achieving improvements of up to 52%. The experiments also suggest that these improvements can be further increased by extending the prediction horizon and through hyperparameter optimization.	inproceedings	2640-3498	galvao-lopes24a	ConForME: Multi-horizon conditional conformal time series forecasting	345	365	345-365	345	false	Vantini, Simone and Fontana, Matteo and Solari, Aldo and Bostr\"{o}m, Henrik and Carlsson, Lars	given family Simone Vantini given family Matteo Fontana given family Aldo Solari given family Henrik Boström given family Lars Carlsson	Galv\~ao Lopes, Aloysio and Goubault, Eric and Putot, Sylvie and Pautet, Laurent	given family Aloysio Galvão Lopes given family Eric Goubault given family Sylvie Putot given family Laurent Pautet	2024-09-10		Proceedings of the Thirteenth Symposium on Conformal and Probabilistic Prediction with Applications	inproceedings	date-parts 2024 9 10