Conformal changepoint localization

Abstract: Changepoint localization is the problem of estimating the index at which a change occurred in the data generating distribution of an ordered list of data, or declaring that no change occurred. We present the broadly applicable CONCH (CONformal CHangepoint localization) algorithm, which uses a matrix of conformal p-values to produce a confidence interval for a (single) changepoint under the mild assumption that the pre-change and post-change distributions are each exchangeable. We exemplify the CONCH algorithm on a variety of synthetic and real-world datasets, including using black-box pre-trained classifiers to detect changes in sequences of images or text.