Author

Percy S. Zhai

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Preprint Sep 2026

Valid and Efficient Split Conformal Regression for Time Series

We study conformalized quantile regression and conformalized median regression that fit a model on one block of a time series and calibrate the conformal interval on the adjacent block. The existing theory of conformal prediction for time series rests largely on mixing conditions, which are hard to verify from a time-s...

Percy S. Zhai, M. Cheng, Wei-Biao Wu · 0 citations

Preprint Sep 2026

Conformal Coverage of Time Series: Validity and Inference

Conformal prediction provides marginal coverage guarantees, yet practitioners may wonder if the observed coverage is truly abnormal or consistent with sampling variation. Inference for realized coverage has received comparatively little attention, especially for time series. We study split conformal prediction with adj...

Percy S. Zhai, M. Cheng, Wei-Biao Wu · 0 citations