Bellman Conformal Inference

This is the repository for Bellman Conformal Inference: Calibrating Prediction Intervals For Time Series. The preprint of the paper can be found at https://arxiv.org/pdf/2402.05203.pdf.

@article{yang2024bellman,
      title={Bellman Conformal Inference: Calibrating Prediction Intervals For Time Series}, 
      author={Zitong Yang and Emmanuel Candès and Lihua Lei},
      year={2024},
      eprint={2402.05203},
      archivePrefix={arXiv},
      primaryClass={cs.LG}
}

Setup

git clone 
cd bellman-conformal-inference
pip install -r requirements.txt

Demonstration

The demonstration for reproducing the result in the paper can be found at demo.ipynb.