Backward Conformal Prediction under Covariate Shift
TL;DR
This work extends BCP to covariate shift through importance weighting, preserving its guarantees when the density ratio is known, and proves that this approach recovers the same report asymptotically under an interpretable condition and characterize the resulting bias otherwise.
Abstract
Backward conformal prediction (BCP) fixes the size of a prediction set and estimates its miscoverage, but assumes calibration and test data are exchangeable. We extend BCP to covariate shift through importance weighting, preserving its guarantees when the density ratio is known. We show that BCP's tight miscoverage report depends only on the relative weight assigned to missed calibration examples, explaining why a better domain classifier can sometimes produce a worse estimate. Motivated by the fact that BCP depends only on nonconformity scores, we propose estimating density ratios on sorted score vectors rather than high-dimensional inputs. We prove that this approach recovers the same report asymptotically under an interpretable condition and characterize the resulting bias otherwise. Experiments with simulated and benchmark distribution shifts show that the proposed method improves BCP's miscoverage estimates, while score-based weighting consistently yields more accurate estimates than embedding-based weighting.
