Conformal inference for regression on Riemannian manifolds

Abstract

Regression on manifolds, and, more broadly, statistics on manifolds, has garnered significant importance in recent years due to the vast number of applications for non Euclidean data. Circular data is a classic example, but so is data in the space of covariance matrices, data on the Grassmannian manifold obtained as a result of principal component analysis, among many others. In this work we investigate prediction sets for regression scenarios when the response variable, denoted by Y, resides in a manifold, and the covariable, denoted by X, lies in an Euclidean space. This extends the concepts delineated in \cite to this novel context. Aligning with traditional principles in conformal inference, these prediction sets are distribution-free, indicating that no specific assumptions are imposed on the joint distribution of (X,Y), and they maintain a non-parametric character. We prove the asymptotic almost sure convergence of the empirical version of these regions on the manifold to their population counterparts. The efficiency of this method is shown through a comprehensive simulation study and an analysis involving real-world data.