Online conformal prediction with decaying step sizes

Abstract

We introduce a method for online conformal prediction with decaying step sizes. Like previous methods, ours possesses a retrospective guarantee of coverage for arbitrary sequences. However, unlike previous methods, we can simultaneously estimate a population quantile when it exists. Our theory and experiments indicate substantially improved practical properties: in particular, when the distribution is stable, the coverage is close to the desired level for every time point, not just on average over the observed sequence.