Testing for Outliers with Conformal p-values
Abstract
This paper studies the construction of 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 propose a solution based on conformal inference, a broadly applicable framework which yields p-values that are marginally valid but 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. Our results depart from classical conformal inference as we leverage concentration inequalities rather than combinatorial arguments to establish our finite-sample guarantees. Furthermore, our techniques also yield a uniform confidence bound for the false positive rate of any outlier detection algorithm, as a function of the threshold applied to its raw statistics. Finally, the relevance of our results is demonstrated by numerical experiments on real and simulated data.
Cite
@article{arxiv.2104.08279,
title = {Testing for Outliers with Conformal p-values},
author = {Stephen Bates and Emmanuel Candès and Lihua Lei and Yaniv Romano and Matteo Sesia},
journal= {arXiv preprint arXiv:2104.08279},
year = {2024}
}
Comments
Revision May 24, 2022: added "asymptotic" and "Monte Carlo" conditional calibration methods; added power analyses; updated numerical experiments to include new methods