Distribution-free changepoint localization after sequential change detection

This paper introduces a distribution-free framework for constructing post-detection confidence sets for changepoints after stopping a sequential change detection procedure. It is well known that conformal test martingales can be used to sequentially detect changes in distribution, but by themselves provide no inference for the time at which a proclaimed change occurred. Past work on post-detection inference requires pre- and post-change classes of distributions to be known, but this paper accomp