Weighted Conformal Prediction

Reliable volumetric segmentation is critical for clinical diagnostics, yet foundation models such as MedSAM remain deterministic and lack calibrated uncertainty under distribution shift. Existing conformal prediction methods offer statistical guarantees but are frequently applied in 2D and assume symmetric error distributions, so they do not capture the class-specific biases that arise in 3D multi-class segmentation. We propose Class-Aware Asymmetric Weighted Conformal Prediction (CA-WCP), which combines latent-space density-ratio weighting for covariate shift with directional quantiles for the lower and upper volume bounds, and scales each bound by a class-specific asymmetry factor derived from validation-set false-positive and false-negative rates. We prove that CA-WCP retains the weighted-exchangeability marginal coverage guarantee for every class, and we evaluate it on 3D brain tumor segmentation (BraTS 2020) and on a synthetic multi-organ CT benchmark constructed under covariate shift. On both benchmarks the 95% Clopper--Pearson interval for the observed coverage of CA-WCP contains the nominal 90% level for every semantic class, while interval width is reduced by 8--14% relative to symmetric weighted conformal prediction. We further encode the calibrated intervals into structured prompts for a multimodal large language model to produce uncertainty-conditioned radiology reports, linking distribution-shift-aware uncertainty quantification to interpretable clinical communication.

Weighted split conformal prediction reweights calibration scores by the likelihood ratio between the test and training covariate distributions and guarantees marginal coverage under covariate shift. We study its coverage conditional on the calibration data. An elementary argument, based on a single concentration inequality at a fixed population quantile, gives explicit training-conditional bounds without unspecified constants, and shows that the relevant scale is not the supremum of the likelihood ratio but a variance proxy built from the chi-squared divergence of the shift and from the average of the ratio over the part of the test population, of probability equal to the miscoverage level, where it is largest. A two-point lower bound shows that the root-m rate and the chi-squared contribution are intrinsic to the shift. Run at an explicitly inflated level, the weighted quantile becomes a deterministic PAC prediction set. We compare it with randomized rejection sampling and with importance-weighted learn-then-test and, through a certified choice of a clipping level for the likelihood ratio, map the regime in which each gives the narrower valid set. The analysis extends to estimated likelihood ratios and to tail functionals estimated from an unlabeled source sample, which yields a fully finite-sample certificate.

Reliable intervention-oriented uncertainty quantification from Earth observation (EO) remains challenging when continuous treatment shifts, spatial dependence, limited support, and satellite-outcome uncertainty must be addressed simultaneously. Existing causal, conformal, and spatial approaches address parts of this problem, but their direct combination does not generally recover the appropriate interventional reference law because candidate reassignment jointly alters treatment likelihood, standardized residuals, and graph-dependent residual likelihood. This study presents GeoDose-CP, a support-aware conformal framework for localized stochastic potential outcomes under continuous or mixed continuous-atomic treatment. Its central methodological contribution is a graph-local target-orbit law that jointly represents intervention-induced treatment shift, the inverse outcome-scale Jacobian, and spatial residual dependence. The framework further provides exact weighted candidate inversion, a scalable sparse approximation with explicit discrepancy accounting, and refusal under inadequate support. Evaluation used controlled known-truth experiments, MineDoseBench, treatment-density sensitivity analysis, external conformal comparators, and a multi-mine New South Wales (NSW) study. In MineDoseBench, GeoDose-CP achieved mean selective coverage of 0.9692 across 27 configurations and a minimum local q0.05 of 0.8951; exact-sparse auditing produced nine inclusion disagreements over 2,700 targets. In the NSW study, the absence of an auditable longitudinal rehabilitation treatment rendered treatment-dependent inference nonoperational rather than forcing inference through a proxy exposure.

Conformal counterfactual prediction constructs prediction sets with finite-sample coverage guarantees for counterfactual outcomes and individual treatment effects under the no-interference assumption. In this work, we relax this assumption by allowing each unit's potential outcomes to depend on other units' treatments and covariates. In this setting, propensity-score reweighting does not restore weighted exchangeability, and existing methods may fail to achieve valid coverage. To address this issue, we develop interference-adjusted weighted conformal prediction that accounts for interference by constructing an observable upper bound on the ideal and unobserved conformal $p$-value under the target intervention. The resulting prediction sets provide finite-sample marginal coverage guarantees for counterfactual outcomes and individual treatment effects in both transductive and inductive settings. We also derive a sharper construction when intervention-induced changes in nonconformity scores are bounded. Numerical experiments show that our methods preserve nominal coverage, whereas existing methods may not.

Conformal prediction converts point predictions into set-valued predictions with coverage guarantees under exchangeability between calibration and deployment data. We study conformal calibration transfer, where this requirement fails because labeled calibration is available only in a source space, while prediction sets are needed in a target space linked to the source through unlabeled paired observations (e.g., paired modalities or sensor changes). We propose Transported Conformal Calibration (TCC): we transport labeled source calibration into the target space using the paired data, and then correct residual post-transport mismatch using only unlabeled target inputs. We instantiate this correction with two complementary methods: TCC-KS, which uses a label-free uncertainty surrogate to detect mismatch and adjust calibration conservatively, and weighted-TCC, which reweights transported calibration toward the target domain for improved efficiency when weights are stable. We provide finite-sample target-domain coverage guarantees that adapt to an observable measure of mismatch. Across CIFAR-100-C, Tiny-ImageNet-C, and SEN12MS, we show reliable target-domain coverage transfer without labeled target calibration data, with label-free diagnostics that predict when correction is needed.

In the last decade, kilometre-scale interferometric gravitational-wave detectors have observed hundreds of compact binary mergers, the majority of which are binary black holes. However, the data are noise-dominated, and multiple independent search algorithms (pipelines) are used to enhance sensitivity and improve robustness. Rather than the standard approach of selecting the most significant pipeline output, we combine the outputs from all pipelines using a conformal prediction-based framework to provide statistically rigorous confidence estimates for candidate events. While combining pipelines improves sensitivity and ranking robustness, it requires a principled statistical framework that remains valid as data properties evolve across observing runs. A key challenge is distribution shifts between simulated datasets used for training and calibration and the real, unlabelled, observations used for testing, which can invalidate coverage guarantees and bias confidence estimates. In this work, we address this challenge by incorporating likelihood-ratio reweighting into our conformal prediction framework to account for covariate shift. Using mock datasets containing simulated signals, we demonstrate that weighted conformal prediction restores well-calibrated coverage under covariate shift and increases the confidence of events near the detection threshold, recovering true signals that would otherwise be missed.

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.

Conformal prediction gives prediction intervals with finite-sample coverage when the data are exchangeable. Many time-indexed datasets are not exchangeable. They have seasons, recurring regimes, changing frequencies, or other forms of structured dependence. This paper studies a simple way to use that structure. We propose spectral adaptive conformal prediction, a method that forms weighted conformal quantiles using local spectral similarity and then updates the target miscoverage level online. The spectral weights choose calibration residuals that look relevant to the current test point. The adaptive update corrects the long-run miss rate when uncertainty changes over time. We give an approximate coverage result for the fixed spectral weighted quantile and a deterministic long-run calibration result for the adaptive update. Simulations with recurring regimes and slowly changing frequencies, together with three U.S. real-data examples, show that the hybrid method can improve on fixed spectral weighting, while also showing that spectral weighting must be monitored through effective sample size diagnostics.

Offline model-based optimization (MBO) proposes candidates by optimizing a surrogate trained on a fixed historical dataset. Because candidates are deliberately out-of-distribution, surrogate rankings are least reliable exactly where the optimizer is most aggressive, yet existing methods provide no per-candidate statistical certificate that a design meets a target threshold. We propose \emph{Conformal Candidate Certification} (CCC), a post-hoc wrapper that attaches a calibrated one-sided lower bound to each candidate and advances only those whose bound exceeds the target. We show that entropy-regularized surrogate maximization induces a Gibbs-tilted proposal, so the same surrogate supplies importance weights for weighted conformal prediction without a separate density-ratio estimation step. In a controlled synthetic study, CCC certifies $16.7\%$ of an aggressive proposal pool with empirical coverage 0.990 at nominal 0.90, while standard conformal prediction ignoring the covariate shift collapses to 0.416 coverage.

Conformal Bayes combines Bayesian posterior predictives with conformal calibration to produce prediction sets that are both statistically valid and geometrically efficient. We study conformal Bayes under label shift from a unified perspective, identifying two complementary approaches that restore nominal target-domain coverage through importance-weighted conformal calibration but operate through independent mechanisms. \emph{Post-hoc calibration} tilts the posterior predictive toward the target domain and corrects the conformal threshold via an importance-weighted quantile, leaving the parameter posterior unchanged. \emph{In-training adaptation} tilts the parameter posterior itself to the target domain, producing a corrected predictive whose highest predictive density region serves as the highest predictive density (HPD)-based prediction set under the fitted target predictive; efficiency is model-dependent and does not imply finite-sample conditional optimality. Two controlled experiments isolate the regime-dependence of each strategy: in the low-dimensional, well-estimated regime StrategyA produces the narrowest valid intervals, while in the high-dimensional, underdetermined regime StrategyB achieves up to $43\%$ width reduction at unchanged coverage, under the stated source-sampling and label-shift assumptions.

Conformal predictive systems (CPS) output calibrated bands of CDFs under exchangeability. We extend generalized CPS to non-exchangeable settings by encoding distributional shifts through observation-specific permutation weights. This yields shift-aware predictive systems that remain valid whenever the test point is, conditionally on the unordered sample, a weighted draw from the observed atoms. Since such weights are typically estimated, we introduce weight-uncertainty boxes and construct robust CPS envelopes with finite-sample or asymptotic confidence guarantees. We derive efficient computation for conformity-measure CPS, conformal binning, and conformal isotonic distributional regression. Experiments under covariate shift and feedback-driven biomolecular design show calibrated predictive bands that widen under stronger shifts and tighten as sample size increases.

Uncertainty quantification is essential in high-stakes machine learning tasks. However, one of the principled solutions, conformal prediction, faces challenges under limited local calibration data, privacy constraints, and data heterogeneity. In multi-agent settings, existing works do not simultaneously and satisfactorily address these challenges with guarantees either limited to averages across agents or losing validity in heterogeneous settings. Hence, we propose personalized federated weighted conformal prediction (PFWCP), a framework that combines local density ratio weighting with weighted quantile aggregation to correct for heterogeneity while preserving privacy. The method yields asymptotically valid marginal and calibration-conditional coverage guarantees for each participating agent and supports protocols with one-shot communication. Theoretical analysis presents an adjustment to the coverage variance, governed by an effective sample size expression, which is necessary in the context of weighted conformal prediction, and experiments on synthetic and real datasets show improved calibration quality over state-of-the-art federated conformal baselines.

We study online conformal prediction in a partially observed panel: a new cross-section of peer outcomes is observed before each target outcome, target feedback may be intermittent or absent, and neither units nor rounds need be exchangeable. We propose Weighted Temporal Quantile Adjustment (W-TQA), which combines similarity weights learned from unit histories with an adaptive target-specific miscoverage level. We prove that neither target-peer mismatch nor coverage on unrevealed rounds is identifiable, so assumptions on cross-unit similarity and on the feedback mechanism cannot be avoided. We bound the past-conditional miscoverage in terms of this mismatch, quantify the cost of learning the weights under a profile-similarity assumption, and show that the implemented procedure, which falls back on the largest peer score, attains long-run average coverage under missing-completely-at-random feedback and a feasibility condition on the calibration panel. On synthetic panels and four real panels, including a genuinely asynchronous U.S.-to-Tokyo equity panel, W-TQA attains the highest coverage on the worst-covered target units on every panel; similarity weighting contributes most when target feedback is scarce, and temporal adaptation more as feedback accumulates.

Recent advances in uncertainty quantification for time series forecasting show that conformal prediction can provide reliable prediction intervals, yet standard conformal methods are often inefficient under temporal dependence, drift, and heterogeneous error behavior. Existing methods typically either update miscoverage rates over time or learn unconstrained calibration weights, without explicitly separating two central sources of nonstationarity: smoothly drifting error distributions and co-existing distinct error regimes. We introduce RareCP, a regime-aware retrieval method for adaptive conformal time series prediction. RareCP learns local calibration representations through a mixture of cosine-attention experts that each capture distinct error regimes, while a compact hypernetwork adapts the kernel parameters to track temporal drift. Given a new forecasting context, RareCP retrieves the top-k most relevant calibration examples, assigns similarity weights, and forms a weighted conformal quantile over their signed residuals, yielding asymmetric prediction intervals. The adaptive kernel is trained using a smooth interval score objective, with a parameter-space anchor to a lightweight teacher kernel to preserve stable local representations. On the GIFT-Eval benchmark, RareCP improves interval efficiency over recent conformal baselines and foundation model uncertainty estimates while maintaining empirical coverage. Ablations confirm that regime-specific experts, drift-adaptive kernels, sparse retrieval, and teacher anchoring each contribute to the final performance.

Conformal prediction (CP) provides powerful, distribution-free prediction sets, but its guarantees rely on the exchangeability of training and test data, which is often violated in practice due to covariate shifts. While weighted conformal prediction (WCP) is designed to handle such shifts, it can suffer from significant undercoverage when the density ratio between the distributions is unbounded and/or must be learned. This is because of both overfitting in learning the density ratio, and high variance in estimating the nonconformity score threshold. To address this, we introduce clipped least-squares importance fitting (CLISF) as a reduced-variance method for density ratio estimation. Specifically, we show that density ratios learned using CLISF, when plugged into WCP, have bounded expected undercoverage. Furthermore, we show that the undercoverage can be corrected by running WCP with a slightly inflated coverage target; crucially, we are able to estimate the required level of inflation from the data. We provide the first theoretical guarantees for weight clipping in conformal inference, achieving dataset-conditional coverage with a sample complexity that does not blow up with the higher moments of the true density ratio -- a key limitation of prior work. We verify our results on real-world benchmarks and synthetic data.