2024-09-10-prinzhorn24a.md

title	booktitle	year	volume	series	month	publisher	pdf	url	abstract	layout	issn	id	tex_title	firstpage	lastpage	page	order	cycles	bibtex_editor	editor	bibtex_author	author	date	address	container-title	genre	issued	extras
Conformal time series decomposition with component-wise exchangeability	Proceedings of the Thirteenth Symposium on Conformal and Probabilistic Prediction with Applications	2024	230	Proceedings of Machine Learning Research	0	PMLR	https://raw.githubusercontent.com/mlresearch/v230/main/assets/prinzhorn24a/prinzhorn24a.pdf	https://proceedings.mlr.press/v230/prinzhorn24a.html	Conformal prediction offers a practical framework for distribution-free uncertainty quantification, providing finite-sample coverage guarantees under relatively mild assumptions on data exchangeability. However, these assumptions cease to hold for time series due to their temporally correlated nature. In this work, we present a novel use of conformal prediction for time series forecasting that incorporates time series decomposition. This approach allows us to model different temporal components individually. By applying specific conformal algorithms to each component and then merging the obtained prediction intervals, we customize our methods to account for the different exchangeability regimes underlying each component. Our decomposition-based approach is thoroughly discussed and empirically evaluated on synthetic and real-world data. We find that the method provides promising results on well-structured time series, but can be limited by factors such as the decomposition step for more complex data.	inproceedings	2640-3498	prinzhorn24a	Conformal time series decomposition with component-wise exchangeability	432	465	432-465	432	false	Vantini, Simone and Fontana, Matteo and Solari, Aldo and Bostr\"{o}m, Henrik and Carlsson, Lars	given family Simone Vantini given family Matteo Fontana given family Aldo Solari given family Henrik Boström given family Lars Carlsson	Prinzhorn, Derck and Nijdam, Thijmen and Van der Linden, Putri and Timans, Alexander	given family Derck Prinzhorn given family Thijmen Nijdam given family prefix Putri Linden Van der given family Alexander Timans	2024-09-10		Proceedings of the Thirteenth Symposium on Conformal and Probabilistic Prediction with Applications	inproceedings	date-parts 2024 9 10