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arXiv 2103.04556cs.DScs.AIcs.LGstat.ML

T-SCI: A Two-Stage Conformal Inference Algorithm with Guaranteed Coverage for Cox-MLP

IIIS, Tsinghua University(清华大学交叉信息研究院)

Jiaye Teng, Zeren Tan, Yang Yuan

英文摘要:

It is challenging to deal with censored data, where we only have access to the incomplete information of survival time instead of its exact value. Fortunately, under linear predictor assumption, people can obtain guaranteed coverage for the confidence band of survival time using methods like Cox Regression. However, when relaxing the linear assumption with neural networks (e.g., Cox-MLP (Katzman et al., 2018; Kvamme et al., 2019)), we lose the guaranteed coverage. To recover the guaranteed coverage without linear assumption, we propose two algorithms based on conformal inference. In the first algorithm WCCI, we revisit weighted conformal inference and introduce a new non-conformity score based on partial likelihood. We then propose a two-stage algorithm T-SCI, where we run WCCI in the first stage and apply quantile conformal inference to calibrate the results in the second stage. Theoretical analysis shows that T-SCI returns guaranteed coverage under milder assumptions than WCCI. We conduct extensive experiments on synthetic data and real data using different methods, which validate our analysis.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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