Accelerating Conformal Prediction via Approximate Leave-One-Out

While conformal prediction provides a general framework for uncertainty quantification in predictive inference, its application is often limited by computational cost.

Recent methods, including Jackknife+ and Jackknife-minmax, achieve faster computation by trading a slight loss of efficiency relative to full conformal prediction, but still requires computing leave-one-out refits for all observations.

In this paper, we further accelerate conformal prediction by incorporating approximate leave-one-out (ALO) estimators, and establish asymptotic coverage and efficiency.

While our proof draws on methods developed for analyzing the consistency of ALO cross-validation risk estimators in high-dimensional statistics, it requires adaptations to handle conformal prediction, where leave-$i$-out residuals are needed for predictions at $x_{n+1}$ rather than just at the training covariate $x_i$.

Simulation results validate our theoretical findings, showing that the ALO-based methods achieve coverage and efficiency comparable to the exact methods, while significantly reducing the runtime.