Conformal changepoint localization

Understand

We study the problem of offline changepoint localization in a distribution-free setting.

• One observes a vector of data with a single changepoint, assuming that the data before and after the changepoint are i.i.d.
• (or more generally exchangeable) from arbitrary and unknown distributions.
• The goal is to produce a finite-sample confidence set for the index at which the change occurs without making any other assumptions.