Rolling-origin conformal prediction achieves a minimax-optimal coverage error rate of O(T^{-β/(2β+1)}) under Hölder-β local stationarity and α-mixing by using a data-driven calibration window of size m* ≍ T^{2β/(2β+1)}.
ChoosingAso thatC 1A2 >2 givesK 1−C1A2 T →0, establishing (14)
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Rolling-Origin Conformal Prediction under Local Stationarity and Weak Dependence
Rolling-origin conformal prediction achieves a minimax-optimal coverage error rate of O(T^{-β/(2β+1)}) under Hölder-β local stationarity and α-mixing by using a data-driven calibration window of size m* ≍ T^{2β/(2β+1)}.