Information-Geometric Blind Spots of Conformal Test Martingales
Conformal test martingales (CTMs) are e-processes for sequentially testing exchangeability via p-values produced by a conformity function $A$. However, any distribution shift that preserves the push-forward $P\circ A^{-1}$ leaves the p-value distribution invariant, rendering it invisible to every CTM based on $A$. We f...