This article introduces a new approach to prediction by bringing together two different nonparametric ideas: distribution-free inference and nonparametric smoothing. Specifically, we consider the problem of constructing nonparametric tolerance/prediction sets. We start from the general conformal...

type="main" xml:id="rssb12021-abs-0001" <title type="main">Summary</title> <p>We study distribution-free, non-parametric prediction bands with a focus on their finite sample behaviour. First we investigate and develop different notions of finite sample coverage guarantees. Then we give a new prediction band by combining the...</p>