Time: 4:30-5:30 p.m.
Date: Wednesday, November 18, 2026
Location: 350 Computing and Information Science Building
Speaker: Yao Zheng, Associate Professor of Statistics, University of Connecticut
Title: Online Conformal Model Selection for Nonstationary Time Series
Abstract: Model selection is a fundamental problem in statistics, yet classical approaches often rely on assumptions that may be violated in nonstationary environments. In online settings, where data arrive sequentially and model performance can change over time, identifying a single best model becomes particularly challenging. Moreover, conventional model selection procedures typically overlook the uncertainty associated with selecting among competing models.
In this talk, I will introduce the Model Prediction Set (MPS), a framework for uncertainty-aware online model selection under potentially nonstationary dynamics. By combining ideas from model confidence sets and online conformal inference, MPS constructs a sequence of sets of candidate models designed to contain the next-period best-performing model. The procedure adaptively calibrates the nominal miscoverage level to balance statistical reliability and set size. We establish a nonasymptotic guarantee for long-run coverage without requiring stationarity or distributional assumptions on the underlying data-generating process. The framework accommodates arbitrary candidate models and user-defined evaluation metrics. Through simulations and real-world time-series applications, I will demonstrate how MPS adapts to changing model performance and produces informative model sets while maintaining calibrated long-run coverage.
Bio: Dr. Yao Zheng is an Associate Professor of Statistics at the University of Connecticut. Her research focuses on developing statistical methodologies for understanding temporal dependence and dynamic structures in modern datasets. Dr. Zheng earned her BS and Ph.D. from the Department of Statistics and Actuarial Science at the University of Hong Kong. Before joining UConn in 2019, she spent two years at Purdue University as a postdoctoral researcher and Visiting Assistant Professor. She is a recipient of the NSF CAREER Award, the Makuch Faculty Fellowship, and the IMS New Researcher Travel Award.