SEMINARS IN STATISTICS @ COLLEGIO CARLO ALBERTO

Giovedi 11 Maggio 2023, alle ore 12.00, presso il Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terrà il seguente seminario:

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Speaker: Matteo Sesia (University of Southern California)

Title: Testing for outliers with conformal p-values

Abstract: 
This talk discusses the construction of provably valid frequentist p-values for nonparametric outlier detection, taking a multiple-testing perspective. The goal is to test whether new independent samples belong to the same distribution as a reference data set or are outliers. We study a solution based on conformal inference, a broadly applicable framework which yields p-values that are marginally valid in finite samples but are mutually dependent for different test points. We prove these p-values are positively dependent and enable exact false discovery rate control, although in a relatively weak marginal sense. We then introduce a new method to compute p-values that are both valid conditionally on the training data and independent of each other for different test points; this paves the way to stronger type-I error guarantees. Finally, we discuss how to further boost power by leveraging a separate data set of known outliers with an approach inspired by weighted hypothesis testing. The practical relevance of our results is demonstrated by numerical experiments on real and simulated data.
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Il seminario è organizzato dalla "de Castro" Statistics Initiative

www.carloalberto.org/stats



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Pierpaolo De Blasi

University of Torino & Collegio Carlo Alberto

carloalberto.org/pdeblasi