The two most popular vehicles for communicating uncertainty in the estimates of an unknown quantity are confidence sets and conformal sets. The set produced and its corresponding probability guarantee (conditional on the feature vector) depend upon assumptions the analyst has made about the underlying data generating process. For example, are the residuals independent and normally distributed? Is the data generating process exchangeable? Knowing only the underlying data upon which a model was built, how should one assess the validity of a proffered confidence or conformal set? Second, how should one use these sets to inform decision making?

Zoom: https://upenn.zoom.us/j/95189835192