Rolling-origin conformal prediction achieves a minimax-optimal coverage error rate of O(T^{-β/(2β+1)}) under Hölder-β local stationarity and α-mixing by using a data-driven calibration window of size m* ≍ T^{2β/(2β+1)}.
Vovk V, Gammerman A, Shafer G
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Rolling-Origin Conformal Prediction under Local Stationarity and Weak Dependence
Rolling-origin conformal prediction achieves a minimax-optimal coverage error rate of O(T^{-β/(2β+1)}) under Hölder-β local stationarity and α-mixing by using a data-driven calibration window of size m* ≍ T^{2β/(2β+1)}.