Exchangeability, Conformal Prediction, and Rank Tests
This is an incremental review paper for researchers in machine learning and statistics, clarifying foundational concepts without introducing new methods.
The paper reviews the concept of exchangeability and its implications for conformal prediction and rank tests, providing a low-level introduction and discussing similarities between these methods.
Conformal prediction has been a very popular method of distribution-free predictive inference in recent years in machine learning and statistics. Its popularity stems from the fact that it works as a wrapper around any prediction algorithm such as neural networks or random forests. Exchangeability is at the core of the validity of conformal prediction. The concept of exchangeability is also at the core of rank tests widely known in nonparametric statistics. In this paper, we review the concept of exchangeability and discuss the implications for conformal prediction and rank tests. We provide a low-level introduction to these topics, and discuss the similarities between conformal prediction and rank tests.