Bin Prediction for Better Conformal Prediction

This paper was accepted at the workshop on Regulatable ML at NeurIPS 2023.
Conformal Prediction (CP) is a method of estimating risk or uncertainty when using Machine Learning to help abide by common Risk Management regulations often seen in fields like healthcare and finance. CP for regression can be challenging, especially when the output distribution is heteroscedastic, multimodal, or skewed. Some of the issues can be addressed by estimating a distribution over the output, but in reality, such approaches can be sensitive to estimation error and yield unstable intervals. Here, we circumvent…