Abstract:SafePredict is a novel meta-algorithm that works with any base prediction algorithm for online data to guarantee an arbitrarily chosen correctness rate, $1-\epsilon$, by allowing refusals. Allowing refusals means that the meta-algorithm may refuse to emit a prediction produced by the base algorithm on occasion so that the error rate on non-refused predictions does not exceed $\epsilon$. The SafePredict error bound does not rely on any assumptions on the data distribution or the base predictor. When the base predictor happens not to exceed the target error rate $\epsilon$, SafePredict refuses only a finite number of times. When the error rate of the base predictor changes through time SafePredict makes use of a weight-shifting heuristic that adapts to these changes without knowing when the changes occur yet still maintains the correctness guarantee. Empirical results show that (i) SafePredict compares favorably with state-of-the art confidence based refusal mechanisms which fail to offer robust error guarantees; and (ii) combining SafePredict with such refusal mechanisms can in many cases further reduce the number of refusals. Our software (currently in Python) is included in the supplementary material.