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Adaptive Conformal Predictions for Time Series

ICML 2022 · Time series › Causal and generative time series · approach: Probabilistic and conformal forecasting · 16 citations (OpenAlex)

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
Increase ACI learning rate gamma from 0 to 0.01 or 0.05 on AR(1) residuals (ablation)ACI · AR(1) toy exampleempirical coverage: 72.6% -> 90% / 92%Helped
Theory: increasing gamma in exchangeable caseACI · exchangeable scores (Theorem 1)expected interval length: gamma=0.03 -> +1.59% length; gamma=0.05 -> +3.38% (alpha=0.01, Gaussian)Hurt
Adaptive aggregation of K ACI experts (AgACI) instead of fixed gammaACI · Synthetic ARMA(1,1) noise, T1=100coverage and efficiencyHelped
Naive strategy of picking past-best gamma instead of AgACI (ablation)ACI gamma selection · Synthetic ARMA(1,1) noisevalidityHurt
Use mean aggregation for EnbPI (EnbPI V2) instead of mixing mean and quantile aggregationEnbPI · Synthetic ARMA(1,1) noisecoverageHelped
Refit the regression model online (OSSCP) instead of offline SCPSplit conformal prediction · Synthetic AR(1)/ARMA(1,1) noisecoverage/lengthHelped
Online refit of OSSCP on electricity pricesSplit conformal prediction · French electricity spot prices 2019median length vs coverageHelped
ACI with gamma 0.01 or 0.05 on day-ahead French electricity pricesACI · French electricity spot prices 2019median length at correct coverageHelped
AgACI aggregation on electricity pricesAgACI · French electricity spot prices 2019median lengthMixed

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