The aim of this chapter is to give a gentle introduction to the method of conformal prediction. It defines conformal predictors and discusses their properties, leaving various extensions of conformal predictors for Chapter 2.
Conformal Prediction; Validity; Efficiency; Classification; Regression; Exchangeability
I am grateful to Sasha Tsybakov for his advice. The empirical studies described in this chapter used the R language and the R package PredictiveRegression; I am grateful to Ilia Nouretdinov for cowriting (and writing the ...