Conformal Prediction Intervals with Tail-Specific Guarantees (opens in new tab)

This paper extends classical conformal frameworks for constructing prediction intervals with global marginal coverage $1-\alpha$ to intervals that provide explicitly calibrated guarantees for the upper and lower tails separately. Focusing on split conformal prediction, we first construct lower and upper one-sided conformal intervals that achieve marginal validity, and then derive the induced two-sided interval by intersection. Theoretical result...