Conformal Prediction for Nonparametric Instrumental Regression
arXiv: 2603.25509v1
发布: 2026-03-26
更新: 2026-03-26
AI 摘要
提出一种非参数工具变量回归的保形预测方法,保证有限样本覆盖率。
主要贡献
- 提出了基于保形推断的非参数工具变量回归预测区间构建方法
- 建立了分布自由的有限样本覆盖率保证
- 可与多种NPIV估计器结合使用
方法论
利用保形推断将条件覆盖率转化为IV shifts类上的边际覆盖率,结合NPIV估计器构建预测区间。
原文摘要
We propose a method for constructing distribution-free prediction intervals in nonparametric instrumental variable regression (NPIV), with finite-sample coverage guarantees. Building on the conditional guarantee framework in conformal inference, we reformulate conditional coverage as marginal coverage over a class of IV shifts $\mathcal{F}$. Our method can be combined with any NPIV estimator, including sieve 2SLS and other machine-learning-based NPIV methods such as neural networks minimax approaches. Our theoretical analysis establishes distribution-free, finite-sample coverage over a practitioner-chosen class of IV shifts.