System and method for generating confidence intervals of a predicted value for an entity which is calibrated based on an ad hoc entity category associated with the entity

A system comprising:

• at least one processor;
• and
• a computer-readable medium in communication with the at least one processor, the computer-readable medium storing computer-executable instructions that, when executed, cause the at least one processor to at least:
• receive a request for access to a resource from an entity device associated with an entity;
• input historical data associated with the entity into a value prediction model trained to output a predicted value for the entity;
• process a vector embedding associated with the entity to determine an ad hoc entity category associated with the entity, wherein the ad hoc entity category includes at least one other entity similar to the entity;
• generate a conformal predictive distribution for the predicted value based at least in part on entities in the ad hoc entity category, where the conformal predictive distribution represents a confidence interval of the predicted value;
• and
• provide access to the resource based on the confidence interval of the predicted value.

A non-transitory computer-readable storage medium having stored thereon computer-executable instructions that, when executed, cause a computer to:

• receive a request for access to a resource from an entity device associated with an entity;
• input historical data associated with the entity into a value prediction model trained to output a predicted value for the entity;
• process a vector embedding associated with the entity to determine an ad hoc entity category associated with the entity, wherein the ad hoc entity category includes at least one other entity similar to the entity;
• generate a conformal predictive distribution for the predicted value based at least in part on entities in the ad hoc entity category, where the conformal predictive distribution represents a confidence interval of the predicted value;
• and
• provide access to the resource based on the confidence interval of the predicted value.