Anytime-Valid Confirmation of Label-Shift Corrections

Seungjin Choi

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arXiv · 2606.14028

Anytime-Valid Confirmation of Label-Shift Corrections

Seungjin Choi

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Abstract

In small-batch scientific deployments, labeled target outcomes may be too scarce for reliable shift estimation even when unlabeled target inputs are available. We address the complementary setting where the practitioner has a pre-specified label-shift correction from domain knowledge and asks whether incoming labeled outcomes support it. We show that the per-observation likelihood ratio between a label-shift-corrected predictive and the source predictive is a conditional e-value, so its running product is a nonnegative martingale and Ville's inequality yields an anytime-valid confirmation rule. The log martingale equals the cumulative negative log-predictive density (NLPD) gap between the source and the corrected predictive, converting routine model monitoring into a formal sequential test. Rejection means the incoming data support the posited correction relative to the source predictive, but it is not a precise estimate of the degree of shift. Closed forms are available for GP sources with Gaussian label-shift ratios. GP regression simulations validate Type I control, finite-sample power, miscalibration sensitivity, and the small-batch advantage of a reliable prior over label-based re-estimation.

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Seungjin Choi. 2026-06-12. Anytime-Valid Confirmation of Label-Shift Corrections. https://arxiv.org/abs/2606.14028

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