Supplementary Material for Classification with Valid and Adaptive Coverage Y aniv Romano

Here, we consider the jackknife+--i.e., Algorithm S1 describes the extension of Algorithm 1 discussed in Section 2.5, which ensures The validity of this algorithm is established by the following result. We begin by proving the lower bound on coverage. This will become apparent after we reduce our claim to the setting in the aforementioned paper. This is easy to verify. Let σ (1),...,σ ( n + m) be the permutation of the data points corresponding to Σ, so that (ΣA Σ S3.1 Implementation details We have applied the following black-box classification methods to estimate label probabilities: JK+ is omitted for computational reasons. The performances of the different methods on data generated from this model are compared in Figure S3.