Validity and efficiency of the conformal CUSUM procedure

Vladimir Vovk, Ilia Nouretdinov, Alexander Gammerman
Proceedings of the Fourteenth Symposium on Conformal and Probabilistic Prediction with Applications, PMLR 266:576-594, 2025.

Abstract

In this paper we study the validity and efficiency of a conformal version of the CUSUM procedure for change detection both experimentally and theoretically. Unlike the standard CUSUM procedure, its conformal version tests repeatedly a massive null hypothesis, that of the data being IID. We establish a novel property of validity for the conformal CUSUM procedure and for the first time establish a property of efficiency.

Cite this Paper

BibTeX
@InProceedings{pmlr-v266-vovk25b, title = {Validity and efficiency of the conformal CUSUM procedure}, author = {Vovk, Vladimir and Nouretdinov, Ilia and Gammerman, Alexander}, booktitle = {Proceedings of the Fourteenth Symposium on Conformal and Probabilistic Prediction with Applications}, pages = {576--594}, year = {2025}, editor = {Nguyen, Khuong An and Luo, Zhiyuan and Papadopoulos, Harris and Löfström, Tuwe and Carlsson, Lars and Boström, Henrik}, volume = {266}, series = {Proceedings of Machine Learning Research}, month = {10--12 Sep}, publisher = {PMLR}, pdf = {https://raw.githubusercontent.com/mlresearch/v266/main/assets/vovk25b/vovk25b.pdf}, url = {https://proceedings.mlr.press/v266/vovk25b.html}, abstract = {In this paper we study the validity and efficiency of a conformal version of the CUSUM procedure for change detection both experimentally and theoretically. Unlike the standard CUSUM procedure, its conformal version tests repeatedly a massive null hypothesis, that of the data being IID. We establish a novel property of validity for the conformal CUSUM procedure and for the first time establish a property of efficiency.} }
Endnote
%0 Conference Paper %T Validity and efficiency of the conformal CUSUM procedure %A Vladimir Vovk %A Ilia Nouretdinov %A Alexander Gammerman %B Proceedings of the Fourteenth Symposium on Conformal and Probabilistic Prediction with Applications %C Proceedings of Machine Learning Research %D 2025 %E Khuong An Nguyen %E Zhiyuan Luo %E Harris Papadopoulos %E Tuwe Löfström %E Lars Carlsson %E Henrik Boström %F pmlr-v266-vovk25b %I PMLR %P 576--594 %U https://proceedings.mlr.press/v266/vovk25b.html %V 266 %X In this paper we study the validity and efficiency of a conformal version of the CUSUM procedure for change detection both experimentally and theoretically. Unlike the standard CUSUM procedure, its conformal version tests repeatedly a massive null hypothesis, that of the data being IID. We establish a novel property of validity for the conformal CUSUM procedure and for the first time establish a property of efficiency.
APA
Vovk, V., Nouretdinov, I. & Gammerman, A.. (2025). Validity and efficiency of the conformal CUSUM procedure. Proceedings of the Fourteenth Symposium on Conformal and Probabilistic Prediction with Applications, in Proceedings of Machine Learning Research 266:576-594 Available from https://proceedings.mlr.press/v266/vovk25b.html.

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