Regression Prediction Intervals

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8 papers in the last four weeks, against 1 the four weeks before. 0.1% of all new papers.

Jul 13Week of Sep 28

Latest papers 70

Oct 7, 2026stat.ML

Conformal Prediction for Spatially Dependent Data via Sequential Whitening

Split conformal prediction uses prediction errors on held-out (calibration) data to determine how wide the prediction intervals should be. It guarantees distribution-free finite-sample coverage when these errors and the error at the target site are exchangeable. This assumption may fail under spatial dependence and nonrandom sampling geometry. Existing spatial methods use fitting residuals to remove the predictable part of spatial variation from calibration and target errors. However, the spatial variation that only the calibration residuals can predict remains in both the target and calibration errors, reducing the efficiency and stability of the interval. We address this by additionally conditioning on the calibration residuals sequentially, which scales to large networks through nearest-neighbour approximations. Under a correct working covariance and an elliptical residual law, the resulting interval has exact finite-sample coverage under any spatial design, and under further conditions it is asymptotically oracle efficient. We also bound coverage loss under covariance misspecification and develop a diagnostic that identifies regions at risk of undercoverage. In simulated data, our method produces narrower and more stable intervals than global and localized state-of-the-art alternatives. In a national PM2.5 application, it produces narrower intervals within the network and identifies regions at risk of coverage failure.

Ayush Baran Sen, Arkajyoti Saha

Indian Statistical Institute, Kolkata, India · Department of Statistics, University of California, Irvine

Conformal Prediction Regression Prediction Intervals

Sep 30, 2026stat.ML

Adaptive Conformal Prediction for Image Regression Models with Application to an Inertial Confinement Fusion Emulator

Uncertainty quantification is critical in scientific machine learning, where black-box, image-based models are increasingly deployed in high-stakes settings. In many such applications, model outputs inform costly decisions, yet most methods provide only point estimates without quantifying predictive uncertainty. This challenge is compounded by the limited accessibility and interpretability of model internals, making it difficult to assess reliability across different regions of the input space. As a result, there is a growing need for methods that can provide input-dependent uncertainty estimates to guide both model development and downstream experimentation. To address this need, we propose Adaptive Conformal Prediction using Nearest Neighbors (ACPNN), an input-adaptive conformal framework for image regression. ACPNN leverages information from neighboring samples to produce locally adaptive uncertainty estimates while maintaining low computational cost. The neighborhood structure is defined using a scaled distance metric learned via a Gaussian Process with an automatic relevance determination (ARD) kernel. We demonstrate the effectiveness of ACPNN on a diffusion model for emulating inertial confinement fusion (ICF) simulations, showing that it achieves reliable and adaptive uncertainty quantification.

Carrie J. Lei-Cramer, Michael S. Jones, Laura J. Wendelberger

Department of Statistics, Texas A&M University, College Station, TX, USA. · Lawrence Livermore National Laboratory, Livermore, CA, USA.

Uncertainty Quantification Conformal Prediction Regression Prediction Intervals

Sep 28, 2026stat.ML

Conformal Prediction and Conditional Coverage for Tabular Foundation Models

Tabular foundation models (TFMs) provide predictive distributions for regression, but their prediction regions can exhibit undercoverage or overcoverage even when point predictions are accurate. We introduce C-USIM (Conditionally-Uniformized Score Integration Method), a lightweight application of highest predictive density split conformal prediction that accommodates multimodal predictions. Given calibration and test outputs, it requires no additional training or model inference. It provides finite-sample marginal validity under our assumptions. We bound conditional-marginal coverage gaps using distribution-estimation error and score discreteness, and examine coverage heterogeneity through percentile rank-score plots. Experiments with TabPFN and TabICL show improved marginal coverage accuracy and lower average conditional and group coverage errors. Under a fixed data budget, allocating more observations to calibration can reduce marginal coverage error despite less accurate point predictions.

Sungwoo Park, Sunghee Park, Won Chang

Department of Statistics Seoul National University Seoul, Republic of Korea

Tabular Foundation Models Group-Conditional Conformal Prediction Conformal Prediction Regression Prediction Intervals

Sep 28, 2026cs.LG

Probabilistic electrical power demand forecasting with uncertainty quantification

The majority of research on electricity consumption forecasting has focused on deterministic approaches, which generate a single point estimate for each time step in the forecasting horizon. However, the increasing penetration of renewable energy sources and the growing complexity of modern smart grids have introduced greater variability and uncertainty into power-system demand and operation. Consequently, probabilistic forecasting, which quantifies the uncertainty and variability associated with future electricity demand, is becoming increasingly important for reliable power-system planning and operation. This study presents an empirical comparison of four contemporary probabilistic forecasting models for electricity consumption, highlighting their respective strengths and limitations. We have performed comparision on real-world power systems related datasets. Across all power-consumption zones, NGBoost demonstrates superior probabilistic forecasting performance, achieving the lowest MAE and RMSE while providing well-calibrated uncertainty estimates with high prediction-interval coverage and reasonably narrow intervals. These results indicate that NGBoost offers a more accurate and reliable forecasting framework than Bayesian, Monte Carlo (MC) Dropout, and Gaussian Process Regression (GPR) models for the considered electricity consumption data.

Mahesh Neupane, Pragya Dhungana, Pradip Khatri +2

Interconnection and Numbering Section Nepal Telecommunications Authority Kathmandu, Nepal · Nepal Electricity Authority Kathmandu, Nepal · Department of Global Public Health and Primary Care University of Bergen Bergen, Norway +1

Uncertainty Quantification Probabilistic Forecasting Electricity Load Forecasting Regression Prediction Intervals

Sep 21, 2026stat.ML

PICPIs: Prediction-Interval-Conditional Prediction Intervals

A classical question in statistics is which observable quantities to condition on when drawing inferences about unobservable targets. For conformal prediction in nonparametric uncertainty quantification, standard marginal validity offers limited resolution at the prediction values on which decisions are based, and fully conditional guarantees with respect to the covariates are provably unattainable. We address this gap by introducing a prediction-based conditioning framework that we refer to as Prediction-Interval-Conditional Prediction Intervals (PICPIs). Formally, a PICPI is an interval

I

satisfying a self-consistency condition:

\mathbb{E} [Y \mid p(X) \in I] \in I,

for predictive model

p

, contextual covariate

X

, and outcome

Y

. Thus, an interval simultaneously defines a stratum of prediction values and certifies that the mean outcome in that stratum lies in the same interval. This self-consistency condition yields data-adaptive strata without altering the original prediction. Such intervals can be constructed using practical algorithms. Under regularity of the prediction distribution, the constructed intervals cover all but an arbitrarily small fraction of prediction values and have widths that decrease at rate

n^{-1/3}

, up to logarithmic factors and the prediction error. Moreover, identifying these locally calibrated intervals can, in turn, inform downstream decision-making. We derive inference procedures for PICPIs in probabilistic prediction and multi-class classification, accompanied by theoretical guarantees. Empirical results are provided that compare PICPIs with existing interval-based baselines.

Xuelin Yang, Baihe Huang, Yilong Hou +2

University of California, Berkeley · Stanford University · Inria Paris

Probability Calibration Conformal Prediction Model Calibration Regression Prediction Intervals

Sep 21, 2026math.ST

Conformalized Quantile Regression and Minimax Limits of Fixed-Score Calibration under Known Covariate Shift

In this paper, we study nonasymptotic

L^p

error bounds for interval length and conditional coverage in split conformalized quantile regression (CQR). Our bounds rely on local regularity conditions and accuracy guarantees for the estimated quantiles. We further instantiate our bounds for quantile regression with sparse ReLU neural networks. We also consider covariate shift, where the calibration and test covariates have different distributions, and derive nonasymptotic bounds for this setting. We obtain matching minimax upper and lower bounds in expectation for two constructed fixed-score calibration benchmarks under known covariate shift. The bounds match for every

p\in[1,\infty]

in the scalar problem and for finite

p

in the

K

-threshold problem; for the latter, a high-probability minimax lower bound holds for every

p\in[1,\infty]

.

Rustam Isaev, Anton Conrad, Denis Belomestny +2

Faculty of Computer Science, HSE University, Moscow, Russia · Faculty of Computational Mathematics and Cybernetics, Lomonosov Moscow State University, Moscow, Russia · Laboratoire de Recherche d’EPITA, Le Kremlin-Bicêtre, France +2

Conformal Prediction Covariate Shift Minimax Estimation Regression Prediction Intervals

Sep 21, 2026stat.ML

Beyond Point Prediction: Artificial Representative Trees with Uncertainty

Random forests (RFs) predict well but are opaque, whereas single decision trees are interpretable but unstable. Artificial representative trees (ARTs) were developed as interpretable surrogate models for RFs, but their use as standalone prediction models with uncertainty quantification has not been systematically investigated. We combine ARTs with leaf-wise Mondrian conformal predictive systems (CPS), enabling a single tree to provide continuous predictions, prediction intervals, and probabilities of exceeding arbitrary thresholds. We compared ARTs with CPS against decision trees with CPS and separate regression and probability trees across five simulation scenarios, 21 benchmark datasets, and a cross-sectional NHANES example data set. Repeated cross-validation assessed predictive performance, interpretability, and stability. ARTs with CPS yield compact, structurally stable trees with substantially more reproducible split-variable selection than decision trees across benchmark datasets and NHANES. Decision trees showed slightly better predictive performance and narrower prediction intervals, while coverage was broadly comparable. CPS-based trees generally achieved lower and less variable Brier scores than multi-model approaches. Combining ARTs with CPS therefore provides a single, interpretable, and stable model for continuous predictions and calibrated probabilities, balancing predictive performance with reproducibility and transparency in settings where stability and interpretability are essential.

Lea L. Mairhöfer, Silke Szymczak, Björn-Hergen Laabs +1

Institute of Medical Biometry and Statistics, University of Luebeck, Ratzeburger Allee 160 V24, 23562, Lübeck, Germany. · Department of Medical Statistics, University Medical Center Göttingen, Göttingen, Germany. · CAIMed, Lower Saxony Center for Artificial Intelligence and Causal Methods in Medicine, Göttingen, Germany. +1

Interpretable ML Conformal Prediction Decision Tree Learning Regression Prediction Intervals

Sep 20, 2026stat.ML

TEMPER: Temporal Encoder-Masked Probabilistic Ensemble Regressor for Time-Series Forecasting

Probabilistic forecasting requires accurate central predictions and calibrated uncertainty estimates. This paper presents TEMPER, the Temporal Encoder-Masked Probabilistic Ensemble Regressor, a univariate time-series forecasting algorithm that combines a temporal autoencoder, a differentiable masked neural decision forest, continuous ranked probability score (CRPS) training, and Gaussian-mixture post-processing. The R implementation is built on torch for R and returns horizon-wise density, distribution, quantile, and sampler functions. We evaluate TEMPER on three deterministic synthetic level series with trend, periodic, regime-switching, nonlinear-threshold, and heteroskedastic components. Across 96 rolling-origin forecasts at horizons t + 1, t + 5, t + 20, and t + 60, TEMPER obtains 2.824% mean CRPS normalized by origin level, 3.635% median absolute error, and 68.8% empirical 90% interval coverage after training with a 300-epoch cap and early-stopping patience of 100. A naive persistence bootstrap has the best aggregate CRPS, 2.763%, while TEMPER has the best median absolute error and the best CRPS at t+1 and t+5. The ablation study uses matched series-origin-horizon cells, horizon-wise CRPS deltas, endpoint sensitivity summaries, and a calibration-specific interval study. Relaxing the learned mask improves average CRPS by 0.472 percentage points on the ablation subset, mainly through long-horizon gains. A twofold interval inflation improves held-out coverage from 54.2% to 91.7% and gives the best 90% interval score among tested calibration rules. The results identify calibration, horizon-specific tuning, and component selection as the central research priorities.

Giancarlo Vercellino

Independent researcher

Time Series Forecasting Probabilistic Time Series Forecasting Regression Prediction Intervals

Sep 14, 2026cs.LG

Split Conformal Prediction with Label-Shift-Adjusted Bayesian Scores

Conformal prediction provides distribution-free uncertainty quantification under exchangeability. However, this assumption is violated by label shift, where the marginal distribution of labels changes while the conditional distribution of inputs given labels remains stable. Under such shifts, standard conformal procedures no longer maintain their intended coverage behavior. Existing approaches address this via importance weighting. They pair the reweighting with residual-based nonconformity scores that ignore predictive uncertainty. The resulting intervals have uniform width. Bayesian conformal methods produce adaptive intervals by leveraging predictive distributions. They evaluate conformity under the source predictive, which is misaligned with the target domain under label shift. We propose the \emph{Label-Shift-Adjusted Bayesian Score} (LSA score), a nonconformity score derived from a posterior predictive tilting identity. This identity shows that the target predictive is an importance-weighted transformation of the source predictive. We use it to derive a direct correction to the Bayesian score. We evaluate the method on molecular property prediction under controlled label shift. The LSA score consistently yields shorter intervals than residual-based and source-based Bayesian scores. Coverage in the target domain remains comparable. Under stronger shift, all methods incur some coverage loss due to pseudo-label-based density-ratio estimation. The LSA score is defined for any source predictive with a tractable log-density. We instantiate it with Bayesian Ridge Regression, where the correction admits a closed form.

Hyeonsu Lee, Juyeon Kim, Erkhembayar Jadamba +2

MOGAM Institute for Biomedical Research, Korea · CROID Research and aSSIST University, Korea

Label Shift Conformal Prediction Regression Prediction Intervals

Aug 11, 2026cs.LG

Retrieval-Corrected Conformal Prediction for Time Series

Conformal prediction (CP) provides distribution-free prediction intervals for fixed forecasters, but its standard calibration procedure is often inefficient for time series data, where forecast errors are temporally dependent and change across time and operating conditions. Recent time series CP methods improve local calibration using recent, weighted, or localized residuals. Yet local calibration can remain indirect, since broad residual weighting or additional adaptation procedures may dilute the evidence most relevant to the current prediction. This motivates a simple retrieval and correction strategy that selects similar past residuals as local evidence and then corrects the coverage error left by retrieval. In this paper, we propose Retrieval--Corrected Conformal Prediction (RCCP), a retrieval-augmented calibration method for time series prediction intervals. RCCP builds an asymmetric interval from retrieved one-sided residuals and calibrates its normalized retrieval error with a scalar conformal correction. Thus, retrieval provides local residual evidence, while conformal correction determines the final scale needed for coverage. We provide a coverage-gap bound based on the stability of the normalized retrieval error distribution. Across standard benchmarks and backbone forecasters, RCCP attains the target coverage in every setting and achieves the lowest Winkler scores, with fewer severe misses. RCCP also achieves low calibration and inference overhead, showing that retrieval-corrected calibration is an effective and scalable approach to uncertainty quantification in time series forecasting. Code is available at https://github.com/jinsaaang/rccp.

Sangjin Jin, Kangmin Kim, Junhyeong Lee +1

Ulsan National Institute of Science and Technology Ulsan, Republic of Korea

Time Series Forecasting Conformal Prediction Uncertainty Calibration Regression Prediction Intervals

Aug 8, 2026cs.AI

PATH: Next-Interval Prediction via Autoregressive Tree Hierarchy on Tabular Data

Interval prediction aims to achieve a target coverage level while producing intervals that are as short as possible. Many conformal regression pipelines first predict an uncertainty surrogate and then convert it into an interval through calibration or selection. This separation supports coverage calibration, but post hoc rules largely determine the final interval and do not fully use the learned output distribution. We observe that the resulting intervals have inherently hierarchical geometry: an interval can be recursively refined into nested subintervals, and binary trees naturally represent this structure. We formulate this hierarchy as next-interval prediction and propose PATH, which learns how probability mass flows from each interval to its next nested subintervals. PATH predicts a base leaf distribution and uses an autoregressive decoder to refine branch probabilities. Matching the distribution to the interval hierarchy aligns learning with extraction: PATH accumulates probability over adjacent output intervals and returns the shortest contiguous range reaching a selected mass. We compare PATH with 24 baselines for interval prediction on PATHBench, comprising 56 OpenML regression datasets. PATH substantially shortens the resulting intervals, achieving the lowest mean normalized length, 0.1473, while maintaining mean coverage of 0.9144. These results establish hierarchical output modeling as an effective approach for compact interval prediction on tabular data. Code is publicly available at https://github.com/pxcai/PATH.

Pengxiang Cai, Wanchen Lian, Chenyang Liu +4

The Hong Kong University of Science and Technology (Guangzhou) · Ant Group

Regression Prediction Intervals Tabular Regression Autoregressive Modeling

Aug 7, 2026stat.ML

Conformal Calibration for Multi-Modal Regression with Missing Modalities

Prediction intervals for multi-modal regression with tabular variables, text, images, or other input sources are difficult to calibrate when those sources disagree or one is missing. A single global quantile averages these regimes together instead of calibrating to the modality pattern observed at test time. We address this through a modality-aware conformal calibration layer. The layer trains or reuses one predictor per modality, computes a disagreement score from their predictions, and uses that score in split conformal calibration under a strict split protocol. We use the score in two complementary ways. First, a continuous disagreement-scaled method reallocates interval width across examples while preserving the usual marginal split-conformal guarantee. Second, a Mondrian (stratified) method calibrates within groups defined by disagreement or modality availability fixed before calibration, giving group guarantees under joint exchangeability of the calibration and test examples. Across four multi-modal datasets, the disagreement-scaled layer matches or improves the marginal conformal baseline in 59 of 60 paired runs for interval continuous ranked probability score (CRPS) and in 52 of 60 for interval width, while keeping empirical coverage near the 95% target. In stress tests with missing modalities, mask-matched recalibration recovers up to 19.5 percentage points of coverage in the hardest fixed-mask regime. The result is a simple, model-agnostic reliability layer for multi-modal regression systems. A project page is available at https://unco3892.github.io/modality-aware-conformal.

Ilia Azizi

Department of Operations, HEC Lausanne, University of Lausanne, Switzerland · BegooAI, Switzerland

Group-Conditional Conformal Prediction Model Calibration Multimodal Learning Regression Prediction Intervals

Aug 7, 2026cs.LG

KReF: Training-Free Retrieval for Long-Term Time-Series Forecasting and Predictive Uncertainty

Probabilistic long-term time-series forecasting commonly relies on trained models. Training-free conformal methods typically construct intervals around a pre-existing point forecaster and do not natively represent a complete predictive distribution; sequential variants additionally suffer from increasingly delayed feedback at long horizons. We propose KReF, a training-free retrieval framework that treats retrieved historical futures as a querylocal empirical predictive distribution. After robust preprocessing, KReF embeds each lookback using handcrafted statistics or frozen random Fourier features and retrieves similar historical lookback-future pairs. Their similarity weights directly define predictive masses, quantiles, CRPS, and a weighted-mean point forecast. KReF further uses the observed query lookback to construct a probability-integral-transform map and applies validation-selected expansion and shrinkage rates to adapt interval boundaries. Across six LTSF benchmarks and four horizons, KReF obtains the lowest CRPS in all 12 dataset-embedding settings and the lowest IS90 in 9 settings. Without gradient-based fitting, its point forecasts also match or surpass trained baselines on two of six datasets. An archive-oracle analysis further reveals substantial headroom under finer horizon- and channel-wise routing. These results establish retrieval as a useful and underexplored inductive bias for LTSF.

Yang Zhang, Rui Su

Long-Term Time Series Forecasting Retrieval-Augmented Time Series Forecasting Probabilistic Time Series Forecasting Regression Prediction Intervals

Aug 5, 2026stat.AP

Distribution-Free Conformal Prediction for Steel Fatigue Strength: Marginal Validity Is Not Enough

Predicting fatigue failure in steel components experimentally is costly because it requires testing across multiple compositions and processing conditions. This has spurred research on data-driven prediction models. Studies using the NIMS MatNavi steel fatigue dataset often report high point-prediction accuracy but rely on aggregate error metrics, leaving uncertainty about the reliability of individual predictions and whether accuracy is consistent across the fatigue-strength spectrum. This paper is the first to apply conformal prediction to steel fatigue strength, comparing five interval-construction methods across 50 independent data splits and distinguishing marginal coverage from coverage within specific sub-regions of the predicted property. A gradient-boosting point model achieves an R^2 of 0.976 +/- 0.009 and a mean absolute error of 18.3 +/- 2.3 MPa. Split-conformal prediction provides valid marginal coverage (0.918) but drops to 0.755 in the highest-strength quartile, where design margins are most critical, a pattern also observed with a Gaussian process baseline. A cross-fitted, normalized conformal method restores near-uniform coverage across all quartiles (0.869-0.938) without a significant increase in interval width, by scaling the interval based on a cross-fitted estimate of local prediction difficulty rather than using a single global width. Diagnostic analysis traces the residual gap in the highest-strength quartile to elevated residual variance (2.7x the pooled Q1-Q3 level) rather than a systematic bias, situating the shortfall against a proven distribution-free limit on exact conditional coverage. Marginal coverage claims for ML-based fatigue-strength predictions can conceal systematic unreliability precisely where engineering decisions are most risky; therefore, conditional coverage should be routinely assessed alongside marginal coverage.

Irene Boruah

Department of Mechanical Engineering, Dibrugarh University Institute of Engineering and Technology, Dibrugarh, 786004, Assam, India.

Conformal Prediction Materials Property Prediction Regression Prediction Intervals

Aug 3, 2026stat.AP

Probabilistic Deep Learning for Drought Forecasting: Role of Internal Climate Variability

Predicting drought risk is essential for anticipating impacts on water resources, agriculture, ecosystems, and climate adaptation planning. Yet drought forecasts remain uncertain because variability can substantially alter regional precipitation and evaporative demand. Treating this variability as unstructured noise ignores the fact that internal variability has spatial, seasonal, and temporal structure and thus contains information that can be used to improve drought forecasting. We propose a deep-learning-based forecasting framework for European drought prediction and extend it with an uncertainty-aware drought bound that explicitly incorporates internal forecast variability from a large climate model ensemble. This bound represents a physically plausible lower-tail trajectory of future drought conditions and marks how severe drought could plausibly become under an unfavourable realisation of internal variability, giving adaptation planning a conservative, risk-averse reference. We compare the proposed bound with a lower bound derived from reanalysis data only and show that our proposed ensemble-informed bound is better calibrated across most regions and seasons. This is specifically true during anomalously dry conditions, when historical reanalysis alone underestimates lower-tail drought risk. Our results show that internal variability should be treated as a forecast quantity in its own right. More broadly, large ensembles provide a practical way to transfer physically plausible climate variability into machine-learning drought forecasts, yielding risk-aware bounds that are more informative for drought assessment under shifting climate conditions.

Henri Funk, Cornelia Gruber, Göran Kauermann +2

Department of Statistics, LMU Munich, Munich, Germany · Department of Geography, LMU Munich, Munich, Germany

Climate Science Time Series Forecasting Probabilistic Forecasting Regression Prediction Intervals

Jul 23, 2026stat.ME

A Multi-Cohort Validation of Censoring-Aware Conformal Lower Predictive Bounds for Pathology Survival Models

Whole-slide survival models commonly provide risk rankings without calibrated statements about individual event times. We evaluate fixed-cutoff drcosarc, a post-hoc conformal wrapper for discrete-time multiple-instance learning survival heads using frozen UNI2-h representations, in an internal 18-configuration sweep across five TCGA cohorts and an external five-configuration evaluation across three CPTAC cohorts. We distinguish configuration--fold--split summaries of the inverse-probability-of-censoring-weighted (IPCW) estimate and median lower predictive bound (LPB) from a hierarchy-aware patient-ensemble estimand of the mean drcosarc--naive LPB difference. At

α=0.1

, the drcosarc IPCW estimate was nearest 0.90 in KIRC, LUAD, and STAD. Patient-ensemble drcosarc--naive intervals excluded zero in KIRC, KIRP, STAD, UCEC, and CPTAC-CCRCC, but included zero in internal LUAD, CPTAC-LUAD, CPTAC-UCEC, and the internal LUSC extension. In a 20-replicate low-censoring semi-synthetic setting with known event times, drcosarc empirical coverage was 0.9129 [0.9053, 0.9207]. An exploratory analysis supported a head-error-by-censoring interaction within that data-generating process. In a two-cohort ABMIL sensitivity analysis, increasing the hazard grid to

K=16

raised localized marginal IPCW estimates above the prespecified 0.87 threshold and yielded positive paired LPB differences, although worst-group estimates remained below 0.87. Overall, performance was cohort dependent, and its interpretation changed with the patient-level unit, estimand, and censoring assumptions.

Mingi Hong

Independent Researcher

Computational Pathology Cancer Survival Prediction Survival Analysis Conformal Prediction Oncology Regression Prediction Intervals

Jul 22, 2026cs.LG

Interval and fuzzy physics-augmented neural networks (iPANN and fPANN) for uncertainty quantification and propagation in constitutive modeling

Constitutive modeling under uncertainty remains a central challenge for reliable mechanics simulations, particularly when the available stress-deformation data are sparse, noisy, or heterogeneous. We propose interval and fuzzy physics-augmented neural networks (iPANNs and fPANNs) for uncertainty-aware hyperelastic constitutive modeling. iPANNs learn sparse lower, mean, and upper free energy density branches whose stresses, obtained by automatic differentiation, ultimately enclose noisy stress observations. In contrast to this deterministic interval description, fPANNs embed the learned iPANN branches into a fuzzy-set representation through alpha-cut interpolation, yielding a nested family of admissible responses. iPANNs and fPANNs encode mechanistic constraints - preserving objectivity, consistency and promoting polyconvexity - and smoothed L0 regularization promotes interpretable energy representations. The bound models are trained through a two-stage transfer-learning procedure in which a sparse mean constitutive response is learned first and then fine-tuned into lower and upper energy branches. We evaluate the framework on synthetic isotropic hyperelastic data with heteroscedastic noise, varying random realizations, shifted noise means, and varying noise magnitudes. The results show that the learned bounds enclose noisy stress observations while generalizing to the test set. Further, we examine the propagation of uncertainty through the mean, upper and lower bound predictions of the learned iPANN models in a finite element setting. The proposed framework provides a compact, physics-consistent route for distribution-free aleatoric uncertainty quantification in hyperelastic constitutive modeling, and propagation in downstream finite element simulations.

Somesh Pratap Singh, Govinda Anantha Padmanabha, Jingye Tan +4

Sibley School of Mechanical and Aerospace Engineering, Cornell University, Ithaca, 14853, NY, USA · Ecole Polytechnique Federale de Lausanne (EPFL), 1015, Lausanne, Switzerland · Department of Aerospace and Mechanical Engineering, University of Southern California, Los Angeles, 90007, CA, USA +2

Uncertainty Quantification Hyperelasticity Physics-Informed ML Uncertainty Propagation Regression Prediction Intervals

Jul 18, 2026stat.ML

Isotonic Conformal Prediction

A point prediction that is well calibrated on average can still be systematically biased conditional on its own value, undermining its use in downstream decision-making. We consider two objectives for reliable uncertainty quantification: self-calibration, requiring a point prediction to be unbiased conditional on its own value, and prediction-conditional validity, requiring a prediction interval to attain nominal coverage conditional on the prediction. Self-Calibrating Conformal Prediction (SC-CP) attains both objectives exactly in finite samples, but requires refitting its calibrator for every candidate outcome, which is computationally prohibitive for continuous outcomes. We propose Isotonic Conformal Prediction (ICP), a framework that decouples calibration from prediction-set construction by fitting a single isotonic recalibration map and constructing prediction intervals within strata of similar recalibrated predictions. Within this framework we develop two procedures. Split Isotonic Conformal Prediction (SICP) attains prediction-conditional validity in finite samples and self-calibration asymptotically, at the computational cost of split conformal prediction. Transductive Isotonic Conformal Prediction (TICP) attains both objectives exactly in finite samples through a per-test-point inner loop that avoids refitting the isotonic calibrator. On synthetic heteroscedastic regression problems and a real-world healthcare-utilization dataset, both procedures match the coverage of SC-CP at substantially lower computational cost.

Daniel Bensimon, Sean Xiang Yu, Eric D. Kolaczyk +1

Department of Mathematics and Statistics, McGill University; Mila · Eli Lilly and Company

Conformal Prediction Uncertainty Calibration Isotonic Regression Regression Prediction Intervals

Jul 13, 2026stat.AP

Climate-Invariant Conformal Prediction Intervals for Multi-Horizon Solar and Wind Forecasting

Reliable uncertainty quantification is essential for integrating solar and wind generation into modern power systems, where operators must weigh risk rather than act on point forecasts alone. Existing probabilistic methods, however, often either lack finite-sample validity or require per-site recalibration, so a single model rarely transfers across the diverse climates of a dispersed generation fleet. This paper proposes a heteroscedastic, asymmetric, group-conditional split-conformal framework built on a bootstrap-diverse XGBoost ensemble, producing prediction intervals that adapt in width to local difficulty while retaining distribution-free coverage guarantees. A single fixed specification, with no per-site or per-horizon tuning, is evaluated across four climatologically distinct sites spanning both hemispheres, at horizons of 1 to 12 hours, for both solar irradiance and wind speed. The framework holds near-nominal coverage on both targets and reduces the Interval Score by up to 35% relative to competitive baselines, with the calibration and sharpness of its intervals shown to be properties of the method rather than of site-specific tuning.

Shreedhar Gangwar, Abhinav Bains, Banalaxmi Brahma

B. R. Ambedkar National Institute of Technology, Jalandhar, India · Department of Computer Science and Engineering, Dr. B.R. Ambedkar National Institute of Technology Jalandhar, India

Group-Conditional Conformal Prediction Time Series Forecasting Conformal Prediction Solar Power Forecasting Wind Power Forecasting Probabilistic Time Series Forecasting+1

Jul 13, 2026cs.CV

Uncertainty Quantification for EO Regression Tasks: Building Height, Tree Canopy Height and Above-ground Biomass Estimation

Earth Observation regression tasks such as building height, canopy height, and above-ground biomass estimation underpin critical applications in urban planning, forest monitoring, and climate policy, where both accuracy and reliability are critical. Yet most deep learning models yield only deterministic predictions, providing no indication of per-pixel reliability. These regression tasks are inherently challenging due to heterogeneous land surfaces, skewed target distributions, sensor noise, and signal saturation at high target values, making uncertainty (UC) estimation essential for reliable inference. We address this gap by modeling aleatoric uncertainty using year-long Sentinel-1 SAR and Sentinel-2 MSI time series, proposing two complementary approaches: (i) Gaussian UC, which jointly predicts mean and standard deviation under a Gaussian assumption, and (ii) Quantile UC, which estimates the 10th, 50th, and 90th quantiles to capture asymmetric and heteroscedastic error distributions. Both models are evaluated on three representative EO regression tasks at 10 m spatial resolution. Results show that both approaches match or surpass deterministic benchmarks and existing global products, while delivering well-calibrated, interpretable, and operationally useful confidence estimates. Notably, both models outperform the current 10 m state-of-the-art uncertainty-aware model for canopy height estimation. Our implementation will be available at: https://github.com/RituYadav92/EO-Regression-Uncertainty-Estimation

Ritu Yadav, Andrea Nascetti, Yifang Ban

Ritu Yadav, Andrea Nascetti and Yifang Ban is with Division of Geoinformatics, KTH Royal Institute of Technology, Sweden.

Uncertainty Quantification Remote Sensing Regression Prediction Intervals

Jul 11, 2026stat.ML

TSCoNet: A Two-Stage Copula CNN-LSTM for Uncertainty-Aware Spatio-Temporal Forecasting

Reliable forecasting of several interrelated environmental variables - such as regional precipitation and temperature, or other correlated geophysical fields - across many locations calls for accurate predictions accompanied by trustworthy statements of their uncertainty. Modern deep-learning models forecast such variables accurately but usually report no uncertainty, and forcing them to output uncertainty through maximum likelihood tends to degrade their accuracy, especially when the variables are strongly correlated. Motivated by this tension, we develop TSCoNet, a two-stage convolutional-recurrent model coupled with a Gaussian copula that jointly forecasts multiple variables over space and time while quantifying predictive uncertainty. The method first learns accurate mean forecasts and then, holding the mean fixed, refines a shared representation to estimate the predictive variance, yielding calibrated prediction intervals after a standard recalibration, so that uncertainty is added without sacrificing point accuracy. We study the approach on simulated non-stationary spatial fields on the sphere and on a real dataset of monthly precipitation and temperature for fifty cities over 2000-2020. The model matches the accuracy of a strong deterministic forecaster while supplying calibrated prediction intervals that the deterministic model cannot, giving a single tool that provides both accurate point forecasts and reliable uncertainty for multivariate spatio-temporal data.

Jongwook Kim, Jong-Min Kim

Statistics Discipline, Division of Science and Mathematics, University of Minnesota-Morris

Multivariate Time Series Forecasting Copula Models Spatiotemporal Forecasting Uncertainty Calibration Probabilistic Time Series Forecasting Regression Prediction Intervals

Jul 7, 2026cs.LG

Heckman-Corrected Epistemic Uncertainty: Selection on Unobservables Defeats Importance Weighting

Training data for machine learning is routinely collected by a selection process the model never sees: loans are observed only when granted, outcomes only when a test was ordered. The standard fixes -- importance weighting, covariate-shift correction, MAR imputation -- assume selection is ignorable given observables. Econometrics solved the harder case in 1979: Heckman's two-equation model jointly fits a probit selection equation and an outcome equation linked through correlated errors, and the inverse-Mills-ratio term corrects for selection on unobservables, where importance weighting is structurally helpless. We instantiate this for deep epistemic uncertainty: a deep outcome network, a linear selection head, and a joint bivariate-normal likelihood over all units, ensembled for predictive variance. In a controlled generator where sampling probability depends on an unobservable correlated (rho up to 0.9) with the outcome noise, deep ensembles, MC dropout, and GP baselines are overconfident exactly where data was avoided: coverage of nominal-90% intervals falls to 64.4% at rho=0.9, and importance weighting with oracle propensities does not fix it (43.1%) -- reweighting corrects the covariate distribution, not the conditional bias E[y|x,selected] != E[y|x]. The Heckman correction restores coverage (88.9%) when the selection equation has an instrument -- a variable affecting selection but not the outcome -- and degrades measurably without one (40.3%); we chart this honesty curve rather than hide it. On real tabular data with induced MNAR selection, the corrected intervals are the best-calibrated (lowest region-ECE) non-oracle method in selected-against regions; baselines matching its raw coverage do so only by over-widening everywhere. Our estimators reproduce classic Stata output to seven digits. We state which identification regime a practitioner is in, and release the code.

Gunner Levi Howe

Independent Researcher

Selection Bias Uncertainty Calibration Regression Prediction Intervals Epistemic Uncertainty

Jul 5, 2026stat.ML

Robust Bayes-Assisted Conformal Prediction

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.

Kianoosh Ashouritaklimi, Stefano Cortinovis, François Caron

Department of Statistics, University of Oxford

Distribution Shift Robustness Conformal Prediction Regression Prediction Intervals

Jul 2, 2026cs.LG

Weighted Conformal Prediction for Lab-to-Track Thermal Transfer in EV Motorsport Powertrains

Predicting thermal volatility in high-performance EV powertrains is difficult as internal temperatures are rarely observable outside the lab, and models calibrated on lab drive cycles fail when deployed against real-world loads. We study this lab-to-track transfer problem using conformal prediction, offering distribution-free uncertainty bounds. We implement Ensemble Batch Prediction Intervals (EnbPI; Xu & Xie, 2021), a leave-one-out bootstrap-ensemble conformal method for autocorrelated time series, and calibrate it on real CALCE lithium-ion cycler data (A123 SP20 cells, FUDS profile). We evaluate it under a genuine, measured covariate shift: a second real CALCE test condition (US06 Highway Driving Schedule at 45°C). The unweighted EnbPI bound, achieving its nominal 95% coverage in-distribution (measured: 95.00%), degrades to 70.13% empirical coverage under this real shift. We introduce a weighted EnbPI procedure combining EnbPI's ensemble residuals with density-ratio weighting (Tibshirani et al., 2019), estimating the density ratio via a probabilistic domain classifier. This recovers coverage to 72.42%, a modest, honestly-reported improvement, not a complete fix. We additionally apply the calibrated model to real 2023 Formula 1 telemetry (Monza and Silverstone, driver VER) as an unsupervised out-of-distribution diagnostic. Because no internal thermal channel exists in public trackside telemetry, we report only unsupervised flag rates (65.6% at Monza, 58.0% at Silverstone, well above the 5% in-distribution base rate) and note inconsistent associations between flags and braking/DRS zones. We conclude that conformal domain adaptation is a promising but only partially solved tool for this problem, detailing exactly where it falls short.

Varshith Roy Kotla

Department of CSE, Faculty of Science and Technology, The ICFAI Foundation for Higher Education, Hyderabad, India

Weighted Conformal Prediction Domain Adaptation Conformal Prediction OOD Detection Regression Prediction Intervals

Jul 1, 2026stat.ML

Neural Network-Based Estimation of Time-Dependent Parameters in AR(p) Processes

We investigate a forecasting framework based on a simple discrete-time dynamic model with coefficients varying in time. The parameters of the model are recovered within a deep learning framework, which makes it possible to retain a transparent parametric structure while simultaneously accounting for complex and nonstationary patterns in the observed phenomenon. Our analysis covers two specifications of the noise process. Besides the standard Gaussian setting, we also consider Laplace-distributed noise, which can offer a more adequate description in the presence of heavier tails and sharper local fluctuations. For both cases, we formulate the predictive scheme of the model and analyze the associated uncertainty quantification, including the construction of prediction intervals. The results illustrate that a relatively simple model, when combined with time-dependent parameter estimation, can serve as a mathematically tractable and practically flexible tool for forecasting complex dynamics under different noise assumptions. The general model is stated for TVAR(

p

), while the prediction-interval formulas and the numerical experiments are developed for the TVAR(1) case.

Agnieszka Kopeć, Paweł Przybyłowicz, Martyna Wiącek

Parameter Estimation Probabilistic Forecasting Non-Stationary Time Series Forecasting Regression Prediction Intervals Autoregressive Modeling

Jun 30, 2026stat.ML

Accelerating Conformal Prediction via Approximate Leave-One-Out

While conformal prediction provides a general framework for uncertainty quantification in predictive inference, its application is often limited by computational cost. Recent methods, including Jackknife+ and Jackknife-minmax, achieve faster computation by trading a slight loss of efficiency relative to full conformal prediction, but still requires computing leave-one-out refits for all observations. In this paper, we further accelerate conformal prediction by incorporating approximate leave-one-out (ALO) estimators, and establish asymptotic coverage and efficiency. While our proof draws on methods developed for analyzing the consistency of ALO cross-validation risk estimators in high-dimensional statistics, it requires adaptations to handle conformal prediction, where leave-

i

-out residuals are needed for predictions at

x_{n+1}

rather than just at the training covariate

x_i

. Simulation results validate our theoretical findings, showing that the ALO-based methods achieve coverage and efficiency comparable to the exact methods, while significantly reducing the runtime.

Jiachen Cong, Jingbo Liu

Department of Statistics, University of Illinois Urbana-Champaign, Champaign, IL, 61820, USA

Conformal Prediction Statistical Learning Theory Regression Prediction Intervals

Jun 30, 2026math.ST

On Optimal Data Splitting for Split Conformal Prediction

Conformal prediction and its variants, including the split conformal prediction, provide a distribution-free framework for uncertainty quantification by constructing prediction intervals or sets with finite-sample coverage guarantees. The statistical efficiency of these intervals depends critically on how the data are split into training and calibration samples. Despite its practical importance, a principled characterization of the training-calibration split that minimizes prediction interval length while maintaining coverage has remained largely unresolved. In this paper, we develop a theoretical framework for optimal data splitting in split conformal prediction. We first analyze the problem in a general setting and derive analytical characterizations of the length-optimal split ratio under both symmetric and asymmetric regimes. We then show how the general results specialize to several commonly used regression settings, including linear regression, nonparametric regression, and neural networks, thereby demonstrating the scope of the framework. We also describe a data-based method for selecting the optimal proportion. Our analysis clarifies how model-related features govern the optimal allocation of samples between training and calibration and provides principled guidance for constructing shorter prediction intervals. Experiments on both synthetic and real-world datasets demonstrate the applicability of the proposed methodology across a variety of practical scenarios.

Sayan Das, Bahram Yaghooti, Todd A. Kuffner +1

Department of Statistics and Data Science, Washington University in St. Louis, St. Louis, MO 63130, USA · Department of Electrical and Systems Engineering, Washington University in St. Louis, St. Louis, MO 63130, USA

Conformal Prediction Statistical Learning Theory Regression Prediction Intervals

Jun 29, 2026cs.LG

Accelerometry-Derived Digital Biomarkers for Cardiometabolic Risk: A Population-Representative Tabular Benchmark with Uncertainty Quantification

Structured tabular data dominates clinical medicine, yet existing benchmarks fail to reflect real-world properties like complex survey sampling, demographic oversampling, and subgroup fairness. We introduce the NHANES Accelerometry Cardiometabolic Benchmark, derived from NHANES 2003-2006, comprising 1,381 adults with hip-worn accelerometry, fasting laboratory biomarkers, dietary intake, and anthropometrics. We evaluate three tabular learning methods -- ridge regression, XGBoost, and the foundation model TabPFN v2 -- to predict glycated haemoglobin (HbA1c), fasting triglycerides, and C-reactive protein (CRP) from activity phenotypes and lifestyle covariates. TabPFN v2 achieves the best overall performance (HbA1c R^2=0.156, CRP R^2=0.383), while triglycerides remain largely unpredictable (R^2 < 0.05), consistent with known genetic dominance. We apply split conformal prediction to generate distribution-free 90% prediction intervals and evaluate demographic coverage equity across sex and race/ethnicity subgroups. Marginal coverage aligns with the 90% target for CRP and HbA1c but falls below for triglycerides. At the subgroup level, we observe localized undercoverage (e.g., HbA1c for Mexican American participants), illustrating the gap between marginal guarantees and the conditional coverage required for clinical fairness. Code and data are at https://github.com/felizzi/nhanes-accel-cardiometabolic-benchmark.

Federico Felizzi

SIIAM, Rome, Italy · enGene Statistics, Basel, Switzerland.

Algorithmic Fairness Wearable Health Monitoring Clinical Risk Prediction Regression Prediction Intervals Tabular Regression

Jun 16, 2026cs.LG

Do Time Series Foundation Model Benchmarks Hide Regime-Dependent Failures? Evidence from Traffic Speed Forecasting

Standard benchmarks evaluate time series foundation models (TSFMs) using aggregate metrics, but these can mask severe failures in critical operating regimes. We introduce regime-stratified evaluation and apply it to three TSFMs on two standard traffic speed benchmarks. Traffic exhibits abrupt regime switching between free-flow and congested states, producing bimodal speed distributions during transitions. When we stratify by traffic regime, both accuracy and prediction-interval coverage degrade sharply during transitions: transition-regime MAE reaches 11 mph (versus 3 mph overall), and empirical coverage of 90% prediction intervals drops as low as 55%. These failures are invisible in aggregate metrics because free-flow observations dominate the sample. A simple historical conditional baseline (sampling from per-sensor training distributions) achieves better transition coverage than any TSFM, but has far worse overall accuracy. We propose bimodal mixture augmentation (BMA), a post-hoc method that combines TSFM forecasts with historical distributional knowledge, approaching the historical baseline's transition coverage while preserving the TSFM's accuracy. Our results suggest that TSFM benchmarks should incorporate regime-aware evaluation to surface failures that aggregate metrics hide.

Yingshuo Wang, Xian Sun, Lingdong Kong +4

University of California, Berkeley, CA, USA · Duke University, Durham, NC, USA · National University of Singapore, Singapore +3

Time Series Forecasting Forecasting Benchmarks Traffic Forecasting Time-Series Foundation Models Probabilistic Time Series Forecasting Regression Prediction Intervals

Jun 15, 2026cs.LG

Simulation-Augmented Multi-Step Split Conformal Prediction for Aggregated Forecasts

We study uncertainty quantification for aggregated forecasting tasks such as annual totals and year-over-year growth rates. We propose SA-MSCP, a simulation-augmented multi-step split conformal method that generates future paths from cross-validated residuals using a block bootstrap and constructs prediction intervals from empirical quantiles. Experiments show that SA-MSCP improves empirical coverage over a simulated-path baseline for aggregated and growth-rate targets. Our results demonstrate that simulation-enhanced conformal calibration is an effective and general framework for uncertainty quantification in aggregated time-series forecasting.

Andro Sabashvili

Uncertainty Quantification Time Series Forecasting Conformal Prediction Regression Prediction Intervals