Probabilistic prediction with locally weighted jackknife predictive system

Probabilistic predictions for regression problems are more popular than point predictions and interval predictions, since they contain more information for test labels. Conformal predictive system is a recently proposed non-parametric method to do reliable probabilistic predictions, which is computationally inefficient due to its learning process. To build faster conformal predictive system and make full use of training data, this paper proposes the predictive system based on locally weighted jackknife prediction approach. The theoretical property of our proposed method is proved with some regularity assumptions in the asymptotic setting, which extends our earlier theoretical researches from interval predictions to probabilistic predictions. In the experimental section, our method is implemented based on our theoretical analysis and its comparison with other predictive systems is conducted using 20 public data sets. The continuous ranked probability scores of the predictive distributions and the performance of the derived prediction intervals are compared. The better performance of our proposed method is confirmed with Wilcoxon tests. The experimental results demonstrate that the predictive system we proposed is not only empirically valid, but also provides more information than the other comparison predictive systems.