Online Localized Conformal Prediction

This repository contains code for reproducing the experiments in "Online Localized Conformal Prediction."

Files

• cp_methods.py: implementations of CP, LCP, ACI, DtACI, SPCI, OLCP, and OLCP-Hedge.
• notebooks/simu.ipynb: synthetic experiments.
• notebooks/elec2.ipynb: ELEC2 experiment.
• notebooks/ILI..ipynb: ILINet experiment.
• notebooks/vix.ipynb: ETF volatility experiment.
• data/: input data files.

Installation

conda create -n olcp python=3.11
conda activate olcp
pip install -r requirements.txt