Localized Conformal Prediction: A Generalized Inference Framework for Conformal Prediction

Abstract

We propose a new inference framework called localized conformal prediction. It generalizes the framework of conformal prediction by offering a single-test-sample adaptive construction that emphasizes a local region around this test sample, and can be combined with different conformal score constructions. The proposed framework enjoys an assumption-free finite sample marginal coverage guarantee, and it also offers additional local coverage guarantees under suitable assumptions. We demonstrate how to change from conformal prediction to localized conformal prediction using several conformal scores, and we illustrate a potential gain via numerical examples.

arXiv commentThis paper is based on the results on localized conformal prediction under the i.i.d settings from arXiv:1908.08558, with strengthened theoretical results, new and more efficient algorithms, and additional empirical studies