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Figure 2 Comparison between direct and indirect approxi- mations. We show the difference between the nonconformity scores of full CP and their approximation as a function of the training set size, averaged across 100 test points. These results support that the direct method is never worse than the indirect (Condition 1), and that both approximate full CP increasingly better (Theorem 2). The standard deviation for the direct approach (blue) is negligible.