arXiv:2605.20726stat.MEcs.LG2026-05被引 1

提出可同时适用于所有阈值的FDP上界,保障事后选阈值仍有效。

Everywhere Valid Bounds on False Discovery Proportions in Conformal Inference

论文配图:Everywhere Valid Bounds on False Discovery Proportions in Conformal Inference
图 1 · 摘自论文原文
  • 构建零假设下置信p值的经验分布函数高概率包络线
  • 在有限样本下实现对所有阈值的FDP上界控制
  • 适合需要事后调整阈值的异常检测与选择任务

现代共形推断在多重检验问题(如异常检测、候选选择)中的应用常基于低于阈值的共形p值筛选样本。其性能通常以错误发现比例(FDP)衡量,即错误选择占总选择的比例。现有方法仅控制FDP的期望值,无法提供实际结果的高概率上界,且在数据观测后选择阈值时会破坏统计保证。本文建立在有限样本、无分布假设下对所有可能阈值均成立的FDP上界,实现任意事后阈值选择的同步有效性。通过从零假设共形p值的联合分布中采样,构造其经验分布函数的高概率包络线,并允许调节包络形状以在重点关注区域获得更紧的上界。该框架被用于推导异常检测与共形选择中的同步FDP上界。合成与真实数据实验表明,所得上界既有效又显著优于现有方法。

原文摘要 · Abstract (English)

Modern applications of conformal inference to multiple testing problems, such as outlier detection and candidate selection, often involve selecting test samples whose conformal p-values fall below a threshold. The quality of such methods is often measured by the false discovery proportion (FDP), defined as the fraction of incorrect selections. Existing approaches typically control the expected value of the FDP, using methods such as the Benjamini-Hochberg procedure. This approach fails to provide high-probability bounds on the realized false discovery proportion and invalidates statistical guarantees if the rejection threshold is selected after inspecting the data. This paper establishes finite-sample, distribution-free upper bounds on the FDP that hold simultaneously over all possible rejection thresholds, enabling arbitrary post hoc selection of the threshold. Simultaneous validity is achieved by constructing a high-probability envelope for the empirical distribution function of null conformal p-values by sampling from their joint distribution. Furthermore, our framework allows practitioners to modulate the envelope's shape, thereby producing tight bounds in rejection regions of primary interest. We use this flexible approach to derive simultaneous FDP upper bounds for both outlier detection and conformal selection. We demonstrate through synthetic and real-data experiments that the resulting bounds are both valid and substantially less conservative than those derived from existing approaches.

共形推断多重检验错误发现率

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