Stacked conformal prediction

Code

• github.com/paulocmarquesf/stacked_cp
  Officialnone★ 7

Abstract

We consider the conformalization of a stacked ensemble of predictive models, showing that the potentially simple form of the meta-learner at the top of the stack enables a procedure with manageable computational cost that achieves approximate marginal validity without requiring the use of a separate calibration sample. Empirical results indicate that the method compares favorably to a standard inductive alternative.

Tasks

Reproductions