Conformalization of Sparse Generalized Linear Models

Given a sequence of observable variables , the conformal prediction method estimates a confidence set for given that is valid for any finite sample size by merely assuming that the joint distribution of the data is permutation invariant. Although attractive, computing such a set is computationally infeasible in most regression problems. Indeed, in these cases, the unknown variable can take an infinite number of possible candidate values, and generating conformal sets requires retraining a predictive model for each candidate. In this paper, we focus on a sparse linear model with only a…

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