A Tutorial on Distribution-Free Uncertainty Quantification Using Conformal Prediction

Statistical prediction models are ubiquitous in psychological research and practice. Increasingly, machine-learning models are used. Quantifying the uncertainty of such predictions is rarely considered, partly because prediction intervals are not defined for many of the algorithms used. However, generating and reporting prediction models without information on the uncertainty of the predictions carries the risk of overinterpreting their accuracy. Conventional methods for prediction intervals (e.g., those defined for ordinary least squares regression) are sensitive to violations of several distributional assumptions. In this tutorial, we introduce conformal prediction, a model-agnostic, distribution-free method for generating prediction intervals with guaranteed marginal coverage, to psychological research. We start by introducing the basic rationale of prediction intervals using a motivating example. Then, we proceed to conformal prediction, which is illustrated in three increasingly complex examples using publicly available data and R code.