Heard it first time via Valeriy Manokhin on X. His feed often posts on well regarded mathematical learning materials on archive.org.
To read:
- [2107.07511] A Gentle Introduction to Conformal Prediction and Distribution-Free Uncertainty Quantification
- Conformal Prediction by Ryan Tibshirani.
- A Tutorial on Conformal Prediction Journal of Machine Learning Research 9 (2008), by Glenn Shafer and Vladimir Vovk