New preprint available!

I’m excited to share that a new preprint titled “ResCP: Residual Conformal Prediction for Time Series Forecasting” is now available on arXiv!

We propose ResCP, a novel conformal prediction method for time series forecasting. ResCP leverages the efficiency and representation capabilities of Reservoir Computing to dynamically reweight conformity scores at each time step. This allows us to account for local temporal dynamics when modeling the error distribution without compromising computational scalability. Moreover, we prove that, under reasonable assumptions, ResCP achieves asymptotic conditional coverage.