Using the same data for tuning and calibration in conformal prediction introduces only small coverage bias for simple tuners, and this 'tuning bias' scales up with parameter count and down with calibration set size.
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Parametric Scaling Law of Tuning Bias in Conformal Prediction
Using the same data for tuning and calibration in conformal prediction introduces only small coverage bias for simple tuners, and this 'tuning bias' scales up with parameter count and down with calibration set size.