Bias-Corrected Adaptive Conformal Inference for Multi-Horizon Time Series Forecasting
Abstract
Adaptive Conformal Inference (ACI) provides distribution-free prediction intervals with asymptotic coverage guarantees for time series under distribution shift. However, ACI only adapts the quantile threshold -- it cannot shift the interval center. When a base forecaster develops persistent bias after a regime change, ACI compensates by widening intervals symmetrically, producing unnecessarily conservative bands. We propose Bias-Corrected ACI (BC-ACI), which augments standard ACI with an online exponentially weighted moving average (EWM) estimate of forecast bias. BC-ACI corrects nonconformity scores before quantile computation and re-centers prediction intervals, addressing the root cause of miscalibration rather than its symptom. An adaptive dead-zone threshold suppresses corrections when estimated bias is indistinguishable from noise, ensuring no degradation on well-calibrated data. In controlled experiments across 688 runs spanning two base models, four synthetic regimes, and three real datasets, BC-ACI reduces Winkler interval scores by 13--17% under mean and compound distribution shifts (Wilcoxon p < 0.001) while maintaining equivalent performance on stationary data (ratio 1.002x). We provide finite-sample analysis showing that coverage guarantees degrade gracefully with bias estimation error.
Figures & tables
| Winkler | Coverage | Width | Winkler | ||||
| Dataset | ACI | BC-ACI | ACI | BC-ACI | ACI | BC-ACI | ratio |
| Synthetic (80 runs each) | |||||||
| Compound shift | 10.06 | 8.38 | .898 | .898 | 8.07 | 6.49 | ∗∗∗ |
| Mean shift | 6.95 | 6.04 | .899 | .899 | 5.68 | 4.71 | ∗∗∗ |
| Volatility shift | 6.77 | 6.79 | .899 | .899 | 5.42 | 5.43 | |
| Stable control | 5.08 | 5.09 | .900 | .900 | 4.07 | 4.08 | |
| Model | ACI Winkler | BC-ACI Winkler | Winkler ratio | Post-shift |
|---|---|---|---|---|
| Ridge | 10.57 | 7.17 | 3.99 | |
| ARIMA | 9.55 | 9.60 | 0.00 |