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Aaditya Ramdas

Publications and source records attributed to Aaditya Ramdas.

At least 73 records · Page 4Linked to original sources
arXiv2026

Combining Evidence Across Filtrations

In sequential anytime-valid inference, any admissible procedure must be based on e-processes: generalizations of test martingales that quantify the accumulated evidence against a composite null hypothesis at any stopping time. This paper proposes a method for combining e-processes constructed in different filtrations but for the same null. Although e-processes in the same filtration can be combined effortlessly (by averaging), e-processes in different filtrations cannot because their validity in a coarser filtration does not translate to a finer filtration. This issue arises in sequential tests of randomness and independence, as well as in the evaluation of sequential forecasters. We establish that a class of functions called adjusters can lift arbitrary e-processes across filtrations. The result yields a generally applicable "adjust-then-combine" procedure, which we demonstrate on the problem of testing randomness in real-world financial data. Furthermore, we prove a characterization theorem for adjusters that formalizes a sense in which using adjusters is necessary. There are two major implications. First, if we have a powerful e-process in a coarsened filtration, then we readily have a powerful e-process in the original filtration. Second, when we coarsen the filtration to construct an e-process, there is a logarithmic cost to recovering validity in the original filtration.

stat.ME↗
arXiv2026

Tighter Confidence Intervals under Without Replacement Sampling via Empirical Rate Functions

We consider the problem of constructing confidence intervals (CIs) for the population mean of $N$ values $\{x_1, \ldots, x_N\} \subset Σ^N$ based on a random sample of size $n$, denoted by $X^n \equiv (X_1, \ldots, X_n)$, drawn uniformly without replacement (WoR). We begin by focusing on the finite alphabet ($|Σ| = k <\infty$) and moderate accuracy ($\log(1/α_N) \gg (k+1)\log N$) regime, and derive a fundamental lower bound on the width of any level-$(1-α_N)$ CI in terms of the inverse of the WoR rate functions from the theory of large deviations. Guided by this lower bound, we propose a new level-$(1-α_N)$ CI using an empirical inverse rate function, and show that in certain asymptotic regimes the width of this CI matches the lower bound up to constants. We also derive a dual formulation of the inverse rate function that enables efficient computation of our proposed CI. We then move beyond the finite alphabet case and use a Bernoulli coupling idea to construct an almost sure CI for $Σ= [0,1]$, and a conceptually simple nonasymptotic CI for the case of $Σ$ being a $(2,D)$ smooth Banach space. For both finite and general alphabets, our results employ classical large deviation techniques in novel ways, thus establishing new connections between estimation under WoR sampling and the theory of large deviations.

math.ST↗
arXiv2026

Post-Hoc Large-Sample Statistical Inference

We derive inferential procedures for large sample sizes that remain valid under data-dependent significance levels (so-called "post-hoc valid inference"). Classical statistical tools require that the significance level -- the "type-I error" -- is selected prior to seeing or analyzing any data. This restriction leads to some drawbacks. For instance, if an analyst generates an inconclusive confidence interval, repeating the process with a larger significance level is not an option -- the result is final. Recently, e-values have emerged as the solution to this problem, being both necessary and sufficient tools for performing various forms of post-hoc inference. All such results, however, have thus far been nonasymptotic. As a result, they inherit familiar limitations of nonasymptotic inferential procedures such as requiring strong moment assumptions and being conservative in general. This paper develops a theory of post-hoc inference in the asymptotic setting, yielding asymptotic post-hoc confidence sets and asymptotic post-hoc p-values that make weaker assumptions and are sharper than their nonasymptotic counterparts.

math.ST↗
arXiv2026

An online generalization of the (e-)Benjamini-Hochberg procedure

In online multiple testing, the hypotheses arrive one by one, and at each time we must immediately reject or accept the current hypothesis solely based on the data and hypotheses observed so far. Many online procedures have been proposed, but none of them are generalizations of the Benjamini-Hochberg (BH) procedure based on p-values, or of the e-BH procedure that uses e-values. In this paper, we consider a relaxed problem setup that allows the current hypothesis to be rejected at any later step. We show that this relaxation allows us to define -- what we justify extensively to be -- the natural and appropriate online extension of the BH and e-BH procedures. We show that the FDR guarantees for BH (resp. e-BH) and online BH (resp. online e-BH) are identical under positive, negative or arbitrary dependence, at fixed and stopping times. Further, the online BH (resp. online e-BH) rule recovers the BH (resp. e-BH) rule as a special case when the number of hypotheses is known to be fixed. Of independent interest, our proof techniques also allow us to prove that numerous existing online procedures, which were known to control the FDR at fixed times, also control the FDR at stopping times.

stat.ME↗
arXiv2026

A Martingale Kernel Two-Sample Test

The Maximum Mean Discrepancy (MMD) is a widely used multivariate distance metric for two-sample testing. The standard MMD test statistic has an intractable null distribution typically requiring costly resampling or permutation approaches for calibration. In this work we leverage a martingale interpretation of the estimated squared MMD to propose martingale MMD (mMMD), a quadratic-time statistic which has a limiting standard Gaussian distribution under the null. Moreover we show that the test is consistent against any fixed alternative and for large sample sizes, mMMD offers substantial computational savings over the standard MMD test, with only a minor loss in power.

stat.ME↗
arXiv2026

Offline changepoint localization using a matrix of conformal p-values

Changepoint localization is the problem of estimating the index at which a change occurred in the data generating distribution of an ordered list of data, or declaring that no change occurred. We present the broadly applicable MCP algorithm, which uses a matrix of conformal p-values to produce a confidence interval for a (single) changepoint under the mild assumption that the pre-change and post-change distributions are each exchangeable. We prove a novel conformal Neyman-Pearson lemma, motivating practical classifier-based choices for our conformal score function. Finally, we exemplify the MCP algorithm on a variety of synthetic and real-world datasets, including using black-box pre-trained classifiers to detect changes in sequences of images, text, and accelerometer data.

math.ST↗
arXiv2026

Theoretical guarantees for change localization using conformal p-values

Changepoint localization aims to provide confidence sets for a changepoint (if one exists). Existing methods either relying on strong parametric assumptions or providing only asymptotic guarantees or focusing on a particular kind of change(e.g., change in the mean) rather than the entire distributional change. A method (possibly the first) to achieve distribution-free changepoint localization with finite-sample validity was recently introduced by \cite{dandapanthula2025conformal}. However, while they proved finite sample coverage, there was no analysis of set size. In this work, we provide rigorous theoretical guarantees for their algorithm. We also show the consistency of a point estimator for change, and derive its convergence rate without distributional assumptions. Along that line, we also construct a distribution-free consistent test to assess whether a particular time point is a changepoint or not. Thus, our work provides unified distribution-free guarantees for changepoint detection, localization, and testing. In addition, we present various finite sample and asymptotic properties of the conformal $p$-value in the distribution change setup, which provides a theoretical foundation for many applications of the conformal $p$-value. As an application of these properties, we construct distribution-free consistent tests for exchangeability against distribution-change alternatives and a new, computationally tractable method of optimizing the powers of conformal tests. We run detailed simulation studies to corroborate the performance of our methods and theoretical results. Together, our contributions offer a comprehensive and theoretically principled approach to distribution-free changepoint inference, broadening both the scope and credibility of conformal methods in modern changepoint analysis.

math.ST↗
arXiv2026

Improving the adjusted Benjamini--Hochberg method using e-values in knockoff-assisted variable selection

Considering the knockoff-based multiple testing framework of Barber and Candès [2015], we revisit the method of Sarkar and Tang [2022] and identify it as a specific case of an un-normalized e-value weighted Benjamini-Hochberg procedure. Building on this insight, we extend the method to use bounded p-to-e calibrators that enable more refined and flexible weight assignments. Our approach generalizes the method of Sarkar and Tang [2022], which emerges as a special case corresponding to an extreme calibrator. Within this framework, we propose three procedures: an e-value weighted Benjamini-Hochberg method, its adaptive extension using an estimate of the proportion of true null hypotheses, and an adaptive weighted Benjamini-Hochberg method. We establish control of the false discovery rate (FDR) for the proposed methods. While we do not formally prove that the proposed methods outperform those of Barber and Candès [2015] and Sarkar and Tang [2022], simulation studies and real-data analysis demonstrate large and consistent improvement over the latter in all cases, and better performance than the knockoff method in scenarios with low target FDR, a small number of signals, and weak signal strength. Simulation studies and a real-data application in HIV-1 drug resistance analysis demonstrate strong finite sample FDR control and exhibit improved, or at least competitive, power relative to the aforementioned methods.

stat.ME↗
arXiv2026

Universal Sequential Changepoint Detection of Quantum Observables via Classical Shadows

We study sequential quantum changepoint detection in settings where the pre- and post-change regimes are specified through constraints on the expectation values of a finite set of observables. We consider an architecture with separate measurement and detection modules, and assume that the observables relevant to the detector are unknown to the measurement device. For this scenario, we introduce shadow-based sequential changepoint e-detection (eSCD), a novel protocol that combines a universal measurement strategy based on classical shadows with a nonparametric sequential test built on e-detectors. Classical shadows provide universality with respect to the detector's choice of observables, while the e-detector framework enables explicit control of the average run length (ARL) to false alarm. Under an ARL constraint, we establish finite-sample guarantees on the worst-case expected detection delay of eSCD. Numerical experiments validate the theory and demonstrate that eSCD achieves performance competitive with observable-specific measurement strategies, while retaining full measurement universality.

quant-ph↗
arXiv2026

Adaptive Off-Policy Inference for M-Estimators Under Model Misspecification

When data are collected adaptively, such as in bandit algorithms, classical statistical approaches such as ordinary least squares and $M$-estimation will often fail to achieve asymptotic normality. Although recent lines of work have modified the classical approaches to ensure valid inference on adaptively collected data, most of these works assume that the model is correctly specified. The misspecified setting poses unique challenges because the parameter of interest itself may not be well-defined over a non-stationary distribution of rewards. We therefore tackle the problem of \emph{off-policy} inference in adaptive settings, where we uniquely define a projected solution over a stationary evaluation policy. Our method provides valid inference for $M$-estimators that use adaptively collected bandit data with a possibly misspecified working model. A key ingredient in our approach is the use of flexible approaches to stabilize the variance induced by adaptive data collection. A major novelty is that the procedure enables the construction of valid confidence sets even in settings where treatment policies are unstable and non-converging, such as when there is no unique optimal arm and standard bandit algorithms are used. Empirical results on semi-synthetic datasets constructed from the Osteoarthritis Initiative demonstrate that the method maintains type I error control, while existing methods for inference in adaptive settings do not cover in the misspecified case.

stat.ME↗
arXiv2026

Operationalizing Stein's Method for Online Linear Optimization: CLT-Based Optimal Tradeoffs

Adversarial online linear optimization (OLO) is essentially about making performance tradeoffs with respect to the unknown difficulty of the adversary. In the setting of one-dimensional fixed-time OLO on a bounded domain, it has been observed since Cover (1966) that achievable tradeoffs are governed by probabilistic inequalities, and these descriptive results can be converted into algorithms via dynamic programming, which, however, is not computationally efficient. We address this limitation by showing that Stein's method, a classical framework underlying the proofs of probabilistic limit theorems, can be operationalized as computationally efficient OLO algorithms. The associated regret and total loss upper bounds are "additively sharp", meaning that they surpass the conventional big-O optimality and match normal-approximation-based lower bounds by additive lower order terms. Our construction is inspired by the remarkably clean proof of a Wasserstein martingale central limit theorem (CLT) due to Röllin (2018). Several concrete benefits can be obtained from this general technique. First, with the same computational complexity, the proposed algorithm improves upon the total loss upper bounds of online gradient descent (OGD) and multiplicative weight update (MWU). Second, our algorithm can realize a continuum of optimal two-point tradeoffs between the total loss and the maximum regret over comparators, improving upon prior works in parameter-free online learning. Third, by allowing the adversary to randomize on an unbounded support, we achieve sharp in-expectation performance guarantees for OLO with noisy feedback.

stat.ML↗
arXiv2026

Testing hypotheses generated by constraints

E-variables are nonnegative random variables with expected value at most one under any distribution from a given null hypothesis. Every nonasymptotically valid test can be obtained by thresholding some e-variable. As such, e-variables arise naturally in applications in statistics and operations research, and a key open problem is to characterize their form. We provide a complete solution to this problem for hypotheses generated by constraints -- a broad and natural framework that encompasses many hypothesis classes occurring in practice. Our main result is an abstract representation theorem that describes all e-variables for any hypothesis defined by an arbitrary collection of measurable constraints. We instantiate this general theory for three important classes: hypotheses generated by finitely many constraints, one-sided sub-$ψ$ distributions (including sub-Gaussian distributions), and distributions constrained by group symmetries. In each case, we explicitly characterize all e-variables as well as all admissible e-variables. Numerous examples are treated, including constraints on moments, quantiles, and conditional value-at-risk (CVaR). Building on these, we prove existence and uniqueness of optimal e-variables under a large class of expected utility-based objective functions used for optimal decision making, in particular covering all criteria studied in the e-variable literature to date.

math.ST↗
arXiv2026

An Asymptotic Law of the Iterated Logarithm for $\mathrm{KL}_{\inf}$

The population $\mathrm{KL}_{\inf}$ is a fundamental quantity that appears in lower bounds for (asymptotically) optimal regret of pure-exploration stochastic bandit algorithms, and optimal stopping time of sequential tests. Motivated by this, an empirical $\mathrm{KL}_{\inf}$ statistic is frequently used in the design of (asymptotically) optimal bandit algorithms and sequential tests. While nonasymptotic concentration bounds for the empirical $\mathrm{KL}_{\inf}$ have been developed, their optimality in terms of constants and rates is questionable, and their generality is limited (usually to bounded observations). The fundamental limits of nonasymptotic concentration are often described by the asymptotic fluctuations of the statistics. With that motivation, this paper presents a tight (upper and lower) law of the iterated logarithm for empirical $\mathrm{KL}_{\inf}$ applying to extremely general (unbounded) data.

math.ST↗
arXiv2026

Asymptotically optimal sequential change detection for bounded means

We consider the problem of quickest changepoint detection under the Average Run Length (ARL) constraint where the pre-change and post-change laws lie in composite families $\mathscr{P}$ and $\mathscr{Q}$ respectively. In such a problem, a massive challenge is characterizing the best possible detection delay when the "hardest" pre-change law in $\mathscr{P}$ depends on the unknown post-change law $Q\in\mathscr{Q}$. And typical simple-hypothesis likelihood-ratio arguments for Page-CUSUM and Shiryaev-Roberts do not at all apply here. To that end, we derive a universal sharp lower bound in full generality for any ARL-calibrated changepoint detector in the low type-I error ($γ\to\infty$ regime) of the order $\log(γ)/\mathrm{KL}_{\mathrm{inf}}(Q,\mathscr{P})$. We show achievability of this universal lower bound by proving a tight matching upper bound (with the same sharp $\logγ$ constant) in the important bounded mean detection setting. In addition, for separated mean shifts, we also we derive a uniform minimax guarantee of this achievability over the alternatives.

math.ST↗
arXiv2026

On admissibility in post-hoc hypothesis testing

The validity of classical hypothesis testing requires the significance level $α$ be fixed before any statistical analysis takes place. This is a stringent requirement. For instance, it prohibits updating $α$ during (or after) an experiment due to changing concern about the cost of false positives, or to reflect unexpectedly strong evidence against the null. Perhaps most disturbingly, witnessing a p-value $p\llα$ vs $p= α- ε$ for tiny $ε> 0$ has no (statistical) relevance for any downstream decision-making. Following recent work of Grünwald (2024), we develop a theory of post-hoc hypothesis testing, enabling $α$ to be chosen after seeing and analyzing the data. To study "good" post-hoc tests we introduce $Γ$-admissibility, where $Γ$ is a set of adversaries which map the data to a significance level. We classify the set of $Γ$-admissible rules for various sets $Γ$, showing they must be based on e-values, and recover the Neyman-Pearson lemma when $Γ$ is the constant map.

math.ST↗
arXiv2026

Distribution-uniform anytime-valid sequential inference and the Robbins-Siegmund distributions

This paper develops a theory of distribution- and time-uniform asymptotics, culminating in the first large-sample anytime-valid inference procedures that are shown to be uniformly valid in a rich class of distributions. Historically, anytime-valid methods -- including confidence sequences, anytime $p$-values, and sequential hypothesis tests -- have been justified nonasymptotically. By contrast, large-sample inference procedures such as those based on the central limit theorem occupy an important part of statistical toolbox due to their simplicity, universality, and the weak assumptions they make. While recent work has derived asymptotic analogues of anytime-valid methods, they were not distribution-uniform (also called \emph{honest}), meaning that their type-I errors may not be uniformly upper-bounded by the desired level in the limit. The theory and methods we outline resolve this tension, and they do so without imposing assumptions that are any stronger than the distribution-uniform fixed-$n$ (non-anytime-valid) counterparts or distribution-pointwise anytime-valid special cases. It is shown that certain ``Robbins-Siegmund'' probability distributions play roles in anytime-valid asymptotics analogous to those played by Gaussian distributions in standard asymptotics. As an application, we derive the first anytime-valid test of conditional independence without the Model-X assumption.

math.ST↗
arXiv2025

Scalable Causal Structure Learning via Amortized Conditional Independence Testing

Controlling false positives (Type I errors) through statistical hypothesis testing is a foundation of modern scientific data analysis. Existing causal structure discovery algorithms either do not provide Type I error control or cannot scale to the size of modern scientific datasets. We consider a variant of the causal discovery problem with two sets of nodes, where the only edges of interest form a bipartite causal subgraph between the sets. We develop Scalable Causal Structure Learning (SCSL), a method for causal structure discovery on bipartite subgraphs that provides Type I error control. SCSL recasts the discovery problem as a simultaneous hypothesis testing problem and uses discrete optimization over the set of possible confounders to obtain an upper bound on the test statistic for each edge. Semi-synthetic simulations demonstrate that SCSL scales to handle graphs with hundreds of nodes while maintaining error control and good power. We demonstrate the practical applicability of the method by applying it to a cancer dataset to reveal connections between somatic gene mutations and metastases to different tissues.

stat.ME↗
arXiv2025

Huber-robust likelihood ratio tests for composite nulls and alternatives

We propose an e-value based framework for testing arbitrary composite nulls against composite alternatives, when an $ε$ fraction of the data can be arbitrarily corrupted. Our tests are inherently sequential, being valid at arbitrary data-dependent stopping times, but they are new even for fixed sample sizes, giving type-I error control without any regularity conditions. We first prove that least favourable distribution (LFD) pairs, when they exist, yield optimal e-values for testing arbitrary composite nulls against composite alternatives. Then we show that if an LFD pair exists for some composite null and alternative, then the LFDs of Huber's $ε$-contamination or total variation (TV) neighborhoods around that specific pair form the optimal LFD pair for the corresponding robustified composite hypotheses. Furthermore, where LFDs do not exist, we develop new robust composite tests for general settings. Our test statistics are a nonnegative supermartingale under the (robust) null, even under a sequentially adaptive (non-i.i.d.) contamination model where the conditional distribution of each observation given the past data lies within an $ε$ TV ball of some distribution in the original composite null. When LFDs exist, our supermartingale grows to infinity exponentially fast under any distribution in the ($ε$ TV-corruption of the) alternative at the optimal rate. When LFDs do not exist, we provide an asymptotic growth rate analysis, showing that as $ε\to 0$, the exponent converges to the corresponding Kullback-Leibler divergence, recovering the classical optimal non-robust rate. Simulations validate the theory and demonstrate reasonable practical performance.

stat.ME↗