Heteroskedastic conformal regression

Conformal prediction, and split conformal prediction as a specific implementation, offer a distribution-free approach to estimating prediction intervals with statistical guarantees. Recent work has shown that split conformal prediction can produce state-of-the-art prediction intervals when focusing on marginal coverage, i.e., on a calibration dataset the method produces on average prediction intervals that contain the ground truth with a predefined coverage level. However, such intervals are often not adaptive, which can be problematic for regression problems with heteroskedastic noise. This paper tries to shed new light on how adaptive prediction intervals can be constructed using methods such as normalized and Mondrian conformal prediction. We present theoretical and experimental results in which these methods are investigated in a systematic way.