Conditional Quantile Adjusted Conformal Prediction for Time Series

Conformal prediction is challenging for time series with time-varying conditional distributions. Existing sequential conformal methods can yield volatile, non-nested prediction intervals due to noisy tail conditional quantile estimation and quantile crossing issue. To overcome these challenges, we construct prediction intervals for time series via a novel method called Conditional Quantile Adjusted Conformal Prediction (CQACP), which stabilizes sequential conformal calibration by modeling the conditional quantile curve of nonconformity score. At each time step, CQACP evaluates a base conditional quantile learner on a grid of quantile levels and fits a Cornish--Fisher approximation parameterized by conditional moments of nonconformity score with monotonicity constraints. Asymptotically, we prove the conditional validity of the prediction interval under serial dependence and show improved conditional quantile estimation accuracy. Experiments on multiple real-world datasets demonstrate that CQACP maintains accurate coverage and produces smooth, narrow, and nested prediction intervals across different significance levels and prediction models.