Validity and efficiency of the conformal CUSUM procedure

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Vladimir Vovk, Ilia Nouretdinov, Alexander Gammerman

Published: 2025, Last Modified: 26 Jan 2026COPA 2025EveryoneRevisionsBibTeXCC BY-SA 4.0
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.