Moment-Calibrated Conformal Prediction with Side Information

Abstract

For a fixed conformal score function, standard split conformal prediction calibrates a prediction set using the empirical distribution of the conformal scores, without using available side information about the data. We propose a moment-calibrated approach that uses such information to reduce variability across calibration data sets. Side information involving the covariates, the response, or both is expressed as moment restrictions, which are enforced through empirical likelihood weights on the calibration data points. The resulting weighted empirical distribution of the scores determines the weighted empirical quantile without changing the score function. We establish finite-sample bounds on training-conditional and marginal coverage of the moment-calibrated prediction set. We derive asymptotic distributions for training-conditional coverage and average prediction-set size, show that their asymptotic variances are no larger than the corresponding variances under standard split conformal prediction, and characterize when the reductions are strict. In the semi-supervised setting, we identify an optimal moment function of a given covariate representation, develop implementations using prespecified moment functions or a function learned by cross-fitting, and quantify the effect of the unlabeled sample size. We also extend the method to coverage conditions indexed by a class of functions of the covariates through weighted quantile regression. Numerical studies demonstrate the effectiveness of the proposed methods.