LoBoost: Fast Model-Native Local Conformal Prediction for Gradient-Boosted Trees

Conformal prediction endows arbitrary black-box predictors with finite-sample, distribution-free marginal coverage, yet marginal validity can hide severe covariate-specific miscalibration, while exact distribution-free conditional coverage is finite-sample unattainable. Randomly localized conformal prediction (RLCP) mitigates this gap by calibrating near the test point while preserving marginal coverage. Existing theory, however, lacks finite-sample guarantees for the realized localized set that jointly control conditional validity and oracle efficiency. We provide such guarantees. For any fixed score, under Hölder regularity of the conditional score CDF and standard density and kernel assumptions, we prove high-probability bounds, uniform over a realized localization neighbourhood, for the conditional-coverage gap and the length error relative to the oracle. The bounds decompose into an $O(h^β)$ localization bias and a calibration term decreasing with calibration size, clarifying the bandwidth bias-variance tradeoff and when RLCP tracks the oracle. We also analyze data-split learned scores: when the score targets a pivotal score, as in conformalized quantile regression, uniform local guarantees decompose into fixed-score calibration and uniform score-estimation errors, showing that improved learning sharpens localized guarantees.

Conformal Prediction provides distribution-free prediction intervals with guaranteed coverage, but its reliance on a single global calibration threshold obscures the sources of uncertainty at the instance level. In particular, it conflates irreducible noise with uncertainty induced by heterogeneous training data (aleatoric), model limitations, or calibration mismatch (epistemic), offering little insight into why an interval is wide or whether it could be reduced. We introduce an uncertainty-aware explainability framework that analyses the reducibility of calibration-induced epistemic conformal uncertainty via progressive calibration localisation for regression tasks. The approach is diagnostic rather than causal: it does not estimate true aleatoric or epistemic uncertainty, but explains how conformal intervals contract and stabilise as calibration support is localised around a test instance. Across benchmarks and real-world data, absolute reducible uncertainty aligns with epistemic proxies, while its relative contribution varies by task, revealing regimes hidden by interval width. This instance-level view complements conformal uncertainty, enhancing interpretability without altering the predictor or coverage.

Bayes-assisted conformal prediction combines the strengths of Bayesian modelling with exact, distribution-free frequentist coverage guarantees. Although conformal validity is preserved even when the Bayesian working model (BWM) is misspecified, the size of the resulting prediction sets can degrade substantially when the prior is poorly aligned with the observed data. We address this limitation by introducing RoBAS (Robust Bayes-Assisted Shrinkage): a Bayes-assisted framework for constructing robust nonconformity scores, with two instantiations: one induced by a heavy-tailed BWM, and a closed-form empirical Bayes shrinkage score. The resulting scores adapt to the quality of the working information encoded in the prior: when this information is reliable, they exploit it to produce efficient prediction sets; when it is weak or inaccurate, they revert to the Distance-To-Average (DTA) score, a robust non-informative baseline. We evaluate the proposed scores on tabular and image regression tasks where the training distribution may differ from the calibration and test distributions, while the calibration and test data themselves remain exchangeable. We find that they are competitive with widely used scores in the absence of such shift, while substantially reducing interval widths in shifted settings.