An online conformal prediction framework for non-exchangeable panel data that forms prediction sets using related units' contemporaneous data with adaptive similarity weights and miscoverage levels to deliver stepwise and long-run coverage guarantees.
Under Assumption B.4, the fitted model is explicit and the pre-absolute residual is Uj,t :=Y j,t − ˆf( ¯Xj,t) =F ⊤ t BZj,t +ε j,t,ˆs j,t =|U j,t|
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Online Conformal Prediction for Non-Exchangeable Panel Data
An online conformal prediction framework for non-exchangeable panel data that forms prediction sets using related units' contemporaneous data with adaptive similarity weights and miscoverage levels to deliver stepwise and long-run coverage guarantees.