knitr::opts_chunk$set( collapse = TRUE, comment = "#>" ) set.seed(5118)

The **conformalbayes** package provides functions to construct finite-sample calibrated
predictive intervals for Bayesian models, following the approach in
Barber et al. (2021).
The basic idea is a natural one: use cross-validated residuals to estimate how
large predictive intervals need to be, on average.

Suppose we have a heavy-tailed dataset.

library(conformalbayes) library(rstanarm) library(ggplot2) sim_data = function(n=50) { x = rnorm(n) y = 3 - 2*x + rt(n, df=2) data.frame(x=x, y=y) } d_fit = sim_data() ggplot(d_fit, aes(x, y)) + geom_point() + geom_smooth(method=lm, formula=y~x)

We can fit a linear regression to the data, but it won't give us accurate uncertainty quantification in our predictions.

# fit the model m = stan_glm(y ~ x, data=d_fit, chains=1, refresh=0) d_test = sim_data(2000) interv_model = predictive_interval(m, newdata=d_test, prob=0.50) # are the points covered covered_model = with(d_test, interv_model[, 1] <= y & y <= interv_model[, 2]) ggplot(d_test, aes(x, y, color=covered_model, group=1)) + geom_point(size=0.4) + geom_linerange(aes(ymin=interv_model[, 1], ymax=interv_model[, 2]), alpha=0.4) + labs(color="Covered?") + geom_smooth(method=lm, formula=y~x, color="black")

In fact, the 50% intervals over-cover, with a coverage rate of
`r scales::percent(mean(covered_model), 0.1)`

, since the fat tails of the error terms
pulls the estimate of the residual standard deviation too high.

While a posterior predictive check could uncover this discrepancy, leading us to
fit a more flexible model, we can take another approach instead.
The first step is to call `loo_conformal()`

, which computes leave-one-out
cross-validation weights and residuals for use in generating more accurate
predictive intervals.

m = loo_conformal(m) print(m)

The `loo_conformal()`

returns the same fitted model, just with a thin wrapping
layer that contains the leave-one-out cross-validation information.
You can see at the bottom of the output that `conformalbayes`

estimates that
correctly-sized predictive intervals are only 81% of the size of the model-based
predictive intervals.

To actually generate predictive intervals, we use `predictive_interval()`

, just
like normal:

interv_jack = predictive_interval(m, newdata=d_test, prob=0.50) # are the points covered covered_jack = with(d_test, interv_jack[, 1] <= y & y <= interv_jack[, 2]) ggplot(d_test, aes(x, y, color=covered_jack, group=1)) + geom_point(size=0.4) + geom_linerange(aes(ymin=interv_jack[, 1], ymax=interv_jack[, 2]), alpha=0.4) + labs(color="Covered?") + geom_smooth(method=lm, formula=y~x, color="black")

Indeed, the coverage rate for these jackknife conformal intervals is
`r scales::percent(mean(covered_jack), 0.1)`

, as we would expect.

The conformal version of `predictive_interval()`

does contain two extra options:
`plus`

and `local`

.
When `plus=TRUE`

, the function will generate `jackknife+`

intervals, which have
a theoretical coverage guarantee.
These can be computationally intensive, so by default they are only generated
when the number of fit and prediction data points is less than 500.
In practice, non-`plus`

jackknife intervals generally perform just as well as
`jackknife+`

intervals.
When `local=TRUE`

(the default), the function will generate intervals whose
widths are proportional to the underlying model-based predictive intervals.
So if your model accounts for heteroskedasticity, or produces narrow intervals
in areas of covariate space with many observations (like a linear model),
`local=TRUE`

will produce more sensible intervals.
The overall conformal performance guarantees are unaffected.

Barber, R. F., Candes, E. J., Ramdas, A., & Tibshirani, R. J. (2021). Predictive inference with the jackknife+. *The Annals of Statistics, 49*(1), 486-507.

Lei, J., Gâ€™Sell, M., Rinaldo, A., Tibshirani, R. J., & Wasserman, L. (2018). Distribution-free predictive inference for regression. *Journal of the American Statistical Association, 113*(523), 1094-1111.

**Any scripts or data that you put into this service are public.**

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.