Risk-Controlling Predictive Sets for Time-Series Events Under Selective Observation with Finite-Sample Guarantees

Selective labels create a support failure for prediction along dependent stochastic processes: alert-triggered events are observed, whereas silent periods are usually unlabeled. We model this mechanism as predictable inclusion on a filtered probability space and show that population risk is non-identifiable when any silent region has zero labeling probability. Selective-observation weighted risk control (SOWRC) combines alert labels with randomized audits through Horvitz–Thompson losses and a martingale-mixture boundary. It provides finite-sample calibration-population control under arbitrary temporal dependence subject to predictable design choices, conditional ignorability, positivity, bounded losses, and deterministic design envelopes, together with a prospective guarantee under an externally certified deployment-drift envelope and explicit error allocation. Extensions cover anytime monitoring, multiple losses, adaptive budgets, and estimated propensities. Synthetic maintenance and financial studies, a complete-log replay on a real dependent sensor series with 100 audit-mask replications, and 4000 selection-level validation runs demonstrate support recovery and conservative probabilistic risk control on deterministic threshold grids.

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Publication Details

Journal
Axioms
Published
2026-09-21
DOI
https://doi.org/10.3390/axioms15090706
Primary Topic
Advanced Bandit Algorithms Research
Type
article
Field-Weighted Citation Impact
0.00
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article

Risk-Controlling Predictive Sets for Time-Series Events Under Selective Observation with Finite-Sample Guarantees

Fang Zheng, Jie Chen, Siyang Bai
Axioms
Advanced Bandit Algorithms Research
article

Risk-Controlling Predictive Sets for Time-Series Events Under Selective Observation with Finite-Sample Guarantees

Fang Zheng, Jie Chen, Siyang Bai
article en

Abstract

Selective labels create a support failure for prediction along dependent stochastic processes: alert-triggered events are observed, whereas silent periods are usually unlabeled. We model this mechanism as predictable inclusion on a filtered probability space and show that population risk is non-identifiable when any silent region has zero labeling probability. Selective-observation weighted risk control (SOWRC) combines alert labels with randomized audits through Horvitz–Thompson losses and a martingale-mixture boundary. It provides finite-sample calibration-population control under arbitrary temporal dependence subject to predictable design choices, conditional ignorability, positivity, bounded losses, and deterministic design envelopes, together with a prospective guarantee under an externally certified deployment-drift envelope and explicit error allocation. Extensions cover anytime monitoring, multiple losses, adaptive budgets, and estimated propensities. Synthetic maintenance and financial studies, a complete-log replay on a real dependent sensor series with 100 audit-mask replications, and 4000 selection-level validation runs demonstrate support recovery and conservative probabilistic risk control on deterministic threshold grids.

AxiomsVol. 15(9)
University of Science and Technology of China (CN), National University of Defense Technology (CN), Nankai University (CN)
Reduced inequalities
Openalex Percentile: Top 7%
Advanced Bandit Algorithms Research
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