Awesome

Reliable Predictive Inference in Time-Series Settings

Please refer to rrc for a newer implementation of this package.

This package contains a Python implementation of Rolling Risk Control (Rolling RC) [1] methodology for constructing distribution-free prediction sets that provably control a general risk in an online setting.

[1] Shai Feldman, Liran Ringel Stephen Bates, Yaniv Romano, “Achieving Risk Control in Online Learning Settings” 2022.