Change detection with conformal martingales: new optimal constructions, and suboptimality of existing methods

We study distribution-free sequential changepoint detection for independent observations with unknown and unrestricted pre- and post-change laws. We build on the conformal test martingales and associated e-detectors of Vovk(2021), which control the probability of false alarm (PFA) and the average run length (ARL) respectively. The majority of these works focus on validity, with statistical efficiency usually left for simulations. We develop a comprehensive theory of how conformal p-values behave under non-exchangeable data with a changepoint at an unknown time T. We use this to analyze the post-change growth and resulting detection delay of conformal martingale methods, and prove that the standard existing methods are suboptimal for PFA and ARL control, and can lead to delays that are Omega(T) and Omega(√ARL) respectively. We propose different conformal e-processes and e-detectors that are provably minimax optimal, with delays Theta(log T) and Theta(log ARL) respectively, and have much shorter delays in simulations.