Official implementation of Conformal prediction for multi-dimensional time series by ellipsoidal sets, which is accepted by ICML 2024 (spotlight).

Please direct implementation inquiries to [email protected].

pip install -r requirements.txt

This work is built on our previous published work Sequential Predictive Conformal Inference for Time Series (ICML 2023).

See wind_2d.ipynb for a demonstration on 2d wind data.

If you find our work useful, please consider citing it

@inproceedings{xuconformal,
  title={Conformal prediction for multi-dimensional time series by ellipsoidal sets},
  author={Xu, Chen and Jiang, Hanyang and Xie, Yao},
  booktitle={Forty-first International Conference on Machine Learning}
}