An online conformal prediction framework for non-exchangeable panel data that forms prediction sets using related units' contemporaneous data with adaptive similarity weights and miscoverage levels to deliver stepwise and long-run coverage guarantees.
Trading volume and cross-autocorrelations in stock returns.The Journal of Finance, 55(2):913–935
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Online Conformal Prediction for Non-Exchangeable Panel Data
An online conformal prediction framework for non-exchangeable panel data that forms prediction sets using related units' contemporaneous data with adaptive similarity weights and miscoverage levels to deliver stepwise and long-run coverage guarantees.