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arXiv · 2608.02766

Conformal confidence intervals with an application to small area estimation

Li-Chun Zhang·Tiziana Tuoto
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Abstract

Conformal prediction inference yields intervals for out-of-sample random outcomes with designated coverage probabilities, given exchangeable or independent-and-identically distributed random variables. For regression analysis, valid coverage can be achieved given finite sample sizes, despite unavoidable misspecifications of the regression function. We propose a novel method of conformal inference, aimed to produce confidence intervals of the unknown expectations of the in-sample outcomes with the designated coverage probabilities conditional on the realised sample. These conformal confidence intervals fill a gap between classical regression and conformal inference. The proposed approach is applied to small area estimation problems.

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Li-Chun Zhang, Tiziana Tuoto. 2026-08-03. Conformal confidence intervals with an application to small area estimation. https://arxiv.org/abs/2608.02766

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