{"doi":"10.1093/jrsssb/qkad069","title":"Prediction sets adaptive to unknown covariate shift","abstract":"Abstract Predicting sets of outcomes—instead of unique outcomes—is a promising solution to uncertainty quantification in statistical learning. Despite a rich literature on constructing prediction sets with statistical guarantees, adapting to unknown covariate shift—a prevalent issue in practice—poses a serious unsolved challenge. In this article, we show that prediction sets with finite-sample coverage guarantee are uninformative and propose a novel flexible distribution-free method, PredSet-1Step, to efficiently construct prediction sets with an asymptotic coverage guarantee under unknown covariate shift. We formally show that our method is asymptotically probably approximately correct, having well-calibrated coverage error with high confidence for large samples. We illustrate that it achieves nominal coverage in a number of experiments and a data set concerning HIV risk prediction in a South African cohort study. Our theory hinges on a new bound for the convergence rate of the coverage of Wald confidence intervals based on general asymptotically linear estimators.","journal":"Journal of the Royal Statistical Society Series B (Statistical Methodology)","year":2023,"id":371409,"datarank":0.0,"base_score":0.0,"endowment":0.0,"self_citation_contribution":0.0,"citation_network_contribution":0.0,"self_endowment_contribution":0.0,"citer_contribution":0.0,"corpus_percentile":null,"corpus_rank":null,"citation_count":6,"citer_count":0,"citers_with_citation_signal":0,"citers_with_endowment":0,"datacite_reuse_total":0,"is_dataset":false,"is_dataset_confidence":0.9467,"is_data_producer":false,"deposit_databanks":null,"is_oa":true,"file_count":0,"downloads":0,"has_version_chain":false,"published_date":"2023-01-01","fair_score":null,"fair_percentile":null,"algorithm_id":"datarank_citation_only_1hop_v6","ranking_scope":"data_only","authors":[{"id":696704,"name":"Edgar Dobriban","orcid":"0000-0002-3467-8931","position":1,"is_corresponding":false},{"id":546382,"name":"Eric Tchetgen Tchetgen","orcid":null,"position":2,"is_corresponding":false},{"id":471474,"name":"Hongxiang Qiu","orcid":"0000-0002-5207-1818","position":0,"is_corresponding":true}],"reference_count":63,"raw_metadata":null,"created_at":"2026-07-19T01:15:45.330525Z","pmid":"38312527","pmcid":null,"fwci":null,"citation_percentile":null,"influential_citations":0,"oa_status":null,"license":null,"views":0,"total_file_size_bytes":0,"version_count":0,"fair_f":null,"fair_a":null,"fair_i":null,"fair_r":null,"fair_zscore":null,"fair_rationale":null,"fair_model":null,"fair_agent_version":null,"fair_fulltext_source":null,"fair_has_llm":null,"fair_computed_at":null,"clinical_trials":[],"software_tools":[],"db_accessions":[],"linked_datasets":[],"topics":[]}