Temporal Conformal Prediction (TCP): A Distribution-Free Statistical and Machine Learning Framework for Adaptive Risk Forecasting
arXiv:2507.05470v3 Announce Type: replace Abstract: We propose Temporal Conformal Prediction (TCP), a distribution-free framework for constructing well-calibrated prediction intervals in nonstationary time series. TCP combines a quantile forecaster with split-conformal calibration on a rolling window and, in its TCP-RM variant,…
