Copula-based conformal prediction for Multi-Target Regression

Abstract: There are relatively few works dealing with conformal prediction for multi-task learning issues, and this is particularly true for multi-target regression. This paper focuses on the problem of providing valid (i.e., frequency calibrated) multi-variate predictions. To do so, we propose to use copula functions applied to deep neural networks for inductive conformal prediction. We show that the proposed method ensures efficiency and validity for multi-target regression problems on various data sets.