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conformalbayes: Jackknife(+) Predictive Intervals for Bayesian Models
Provides functions to construct finite-sample calibrated predictive intervals for Bayesian models, following the approach in Barber et al. (2021) <doi:10.1214/20-AOS1965>. These intervals are calculated efficiently using importance sampling for the leave-one-out residuals. By default, the intervals will also reflect the relative uncertainty in the Bayesian model, using the locally-weighted conformal methods of Lei et al. (2018) <doi:10.1080/01621459.2017.1307116>.
Getting started
Browse package contents
Package details |
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| Author | Cory McCartan [aut, cre] (<https://orcid.org/0000-0002-6251-669X>) |
| Maintainer | Cory McCartan <cmccartan@g.harvard.edu> |
| License | MIT + file LICENSE |
| Version | 0.1.2 |
| URL | https://github.com/CoryMcCartan/conformalbayes https://corymccartan.com/conformalbayes/ |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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