Decomposing Conformal Uncertainty: Calibration- and Instance-Driven Feature Attribution

In high-stakes settings, decision-makers using conformal prediction (CP) read the predictive interval's width as their operational uncertainty signal. Local feature attribution methods, applied to that width, silently conflate two semantically distinct contributions: a calibration-driven baseline that depends on the held-out calibration set, and an instance-driven term that depends on the test point. We propose a two-game Shapley construction—one game over feature coalitions at the test point, one over feature coalitions across the calibration set—that decomposes the total attribution into calibration-driven and instance-driven components. The construction is method-agnostic on two axes: any local attribution method that can be applied to a scalar uncertainty target can be used, and any split CP family whose uncertainty size admits a known separation into a calibration-only and an instance-only summary satisfies the decomposition. Empirically, the calibration-driven and instance-driven attributions frequently carry opposite signs on synthetic and real data, with representative cases where a feature's sign reverses between the two views; the total attribution then becomes a misleading sum. On a clinical-decision task with semi-synthetic data, this conflation degrades decision quality, whereas jointly considering the calibration-driven and instance-driven attributions recovers high-uncertainty cases missed by total attribution. We further empirically verify that the decomposition holds across multiple CP families that satisfy the separability conditions.