Prediction sets adaptive to unknown covariate shift.

ABSTRACT: Predicting sets of outcomes-instead of unique outcomes-is a promising solution to uncertainty quantification in statistical learning. Despite a rich literature on constructing prediction sets with statistical guarantees, adapting to unknown covariate shift-a prevalent issue in practice-poses a serious unsolved challenge. In this article, we show that prediction sets with finite-sample coverage guarantee are uninformative and propose a novel flexible distribution-free method, PredSet-1Step, to efficiently construct prediction sets with an asymptotic coverage guarantee under unknown covariate shift. We formally show that our method is asymptotically probably approximately correct, having well-calibrated coverage error with high confidence for large samples. We illustrate that it achie

SUBMITTER: Qiu H 

PROVIDER: S-EPMC10837005 | biostudies-literature | 2023 Nov

REPOSITORIES: biostudies-literature