Retrain or not retrain: Conformal test martingales for change-point detection

no code implementations • 20 Feb 2021 • Vladimir Vovk, Ivan Petej, Ilia Nouretdinov, Ernst Ahlberg, Lars Carlsson, Alex Gammerman

We argue for supplementing the process of training a prediction algorithm by setting up a scheme for detecting the moment when the distribution of the data changes and the algorithm needs to be retrained.

Change Point Detection Conformal Prediction