Flow-based Conformal Prediction for Multi-dimensional Time Series

Abstract

Time series prediction underpins a broad range of downstream tasks across many scientific domains. Recent advances and increasing adoption of black-box machine learning models for time series prediction highlight the critical need for reliable uncertainty quantification. While conformal prediction has gained attention as a reliable uncertainty quantification method, conformal prediction for time series faces two key challenges: (1) adaptively leveraging correlations in features and non-conformity scores to overcome the exchangeability assumption, and (2) constructing prediction sets for multi-dimensional outcomes. To address these challenges jointly, we propose a novel conformal prediction method for time series using flow with classifier-free guidance. We provide coverage guarantees by establishing exact non-asymptotic marginal coverage and a finite-sample bound on conditional coverage for the proposed method. Evaluations on real-world time series datasets demonstrate that our method constructs significantly smaller prediction sets than existing conformal prediction methods while maintaining target coverage.