From the blog
Sixty years ago, Patrick Suppes realized that the notion of a model of a logical theory, so essential to mathematical logic, applies equally well to models in science. I review his final book, on the use of formal models in science. Read more
Conformalized quantile regression, 2019. Yaniv Romano, Evan Patterson, Emmanuel J. Candès.
We propose a new method to construct prediction intervals, based on conformal inference. Our philosophy is that if interval estimation is your goal, you should bypass point estimation entirely and directly estimate the interval endpoints by quantile regression. You can then conformalize the intervals to attain valid, distribution-free coverage in finite samples. Read more