Nearest neighbor based conformal prediction
Résumé
In this paper we introduce a nearest neighbor based estimate of the prédiction interval with prescribed conditional coverage probability and with small length. In the spécial case, when there is no feature vector, the problem is the estimate of a confidence interval. For confidence interval estimate, we show the distribution-free strong consistency of the conditional coverage probability and of excess length of the interval, while the conditional coverage probability of prédiction interval has the distribution-free strong consistency property and under weak conditions on the underlying distributions strong consistency and the fast rate of convergence of the excess length are shown. As a conséquence, we construct a confidence set estimate for classification.
Domaines
Statistiques [math.ST]Origine | Accord explicite pour ce dépôt |
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