It has been shown recently that transductive confidence machine (TCM) is automatically well-calibrated when used in the on-line mode and provided that the data sequence is generated by an exchangeable distribution. In this paper we strengthen this result by relaxing the assumption of exchangeability of the data-generating distribution to the much weaker assumption that the data agrees with a given "on-line compression model".
['Vladimir Vovk']
Well-calibrated predictions from on-line compression models