Prediction sets adaptive to unknown covariate shift.
J R Stat Soc Series B Stat Methodol
; 85(5): 1680-1705, 2023 Nov.
Article
em En
| MEDLINE
| ID: mdl-38312527
ABSTRACT
Predicting sets of outcomes-instead of unique outcomes-is a promising solution to uncertainty quantification in statistical learning. Despite a rich literature on constructing prediction sets with statistical guarantees, adapting to unknown covariate shift-a prevalent issue in practice-poses a serious unsolved challenge. In this article, we show that prediction sets with finite-sample coverage guarantee are uninformative and propose a novel flexible distribution-free method, PredSet-1Step, to efficiently construct prediction sets with an asymptotic coverage guarantee under unknown covariate shift. We formally show that our method is asymptotically probably approximately correct, having well-calibrated coverage error with high confidence for large samples. We illustrate that it achieves nominal coverage in a number of experiments and a data set concerning HIV risk prediction in a South African cohort study. Our theory hinges on a new bound for the convergence rate of the coverage of Wald confidence intervals based on general asymptotically linear estimators.
Texto completo:
1
Coleções:
01-internacional
Base de dados:
MEDLINE
Tipo de estudo:
Observational_studies
/
Prognostic_studies
/
Risk_factors_studies
Idioma:
En
Revista:
J R Stat Soc Series B Stat Methodol
Ano de publicação:
2023
Tipo de documento:
Article
País de afiliação:
Estados Unidos