Online Conformal Prediction via Universal Portfolio Algorithms — reproduction

arXiv:2602.03168v1 · OpenReview EKmiOtjZjI

UP-OCP is implemented from Algorithm 1 / Eq. (11); the KT baseline from Eqs. (41)–(43); bounds from Theorems 4.3 and 4.4. The paper releases no code, so the AXP score stream is rebuilt from the conformal-time-series pipeline and validated against that benchmark's released AMZN forecasts (corr 0.99999 over 2,919 days).

ClaimSubjectVerdictHeadline
1Parameter-freereproducedworst |miscov−α| = 0.0145 over 15 settings
2Theorem 4.3 regret ratesreproduced945 checks, 0 violations; both rate regimes located
3Theorem 4.4 coveragereproduced135 checks, 0 violations; worst ratio 0.765
4AXP Table 1reproduced0.9329 / 14.94 / streak 4 vs paper 0.932 / 14.8 / 4
5Pareto frontierreproducedUP-OCP dominates KT at 50/50 rates
6Synthetic sinusoidfalsifiedtracking holds; tuned P-Control is 1.66× better