Code for my master’s thesis ‘Distributional conformal prediction’ (DCP).
The thesis is an (re-)implementation of
Chernozhukov, Victor, Kaspar Wüthrich, and Yinchu Zhu. "Distributional conformal prediction." Proceedings of the National Academy of Sciences 118.48 (2021): e2107794118.
with additional methods for estimating conditional distribution functions, in particular, IDR (Henzi, Alexander, Johanna F. Ziegel, and Tilmann Gneiting. "Isotonic distributional regression." Journal of the Royal Statistical Society Series B: Statistical Methodology 83.5 (2021): 963-993.)
dcp.R contains the implementation DCP.
lib.R contains run_experiment which applies some DCP methods to some data models multiple times at some sample sizes (these are all parameters).
See theorem-3.R and theorem-4.R on how to use it.
rain.R applies the DCP methods to statistical post processing of precipitation data.