Multi split conformal prediction

Split conformal prediction is a computationally efficient method for performing distribution-free predictive inference in regression. It involves, however, a one-time random split of the data, and the result can strongly depend on the particular split. To address this problem, we propose multi split conformal prediction, a simple method based on Markov's inequality to aggregate split conformal prediction intervals across multiple splits. (c) 2022 Elsevier B.V. All rights reserved.