Develops a general nonparametric framework for constructing non-asymptotically valid confidence sets for changepoint location using data up to an arbitrary detection stopping time.
Minimax tests and the neyman-pearson lemma for capacities.The Annals of Statistics, pages 251–263, 1973
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Post-detection inference for sequential changepoint localization
Develops a general nonparametric framework for constructing non-asymptotically valid confidence sets for changepoint location using data up to an arbitrary detection stopping time.