Sequential Conditional Independence Testing with Machine Learning Models
Abstract
Conditional independence testing is a ubiquitous problem in scientific discovery. The widely employed model-X assumption shifts the modelling burden from the dependence of the output on the inputs to the dependencies within the inputs. Log-optimal e-variables have been studied in this setting, but it remains unclear how to incorporate machine learning models into their design. Other approaches test exchangeability directly, yielding an e-variable with lower power in theory but, surprisingly, higher power in practice. We explain this phenomenon by decomposing the error into null enlargement, approximation, and estimation error. The decomposition shows that GRO e-variable estimates can be beaten because of their worse approximation and estimation errors, and we explore intermediate null hypotheses between model-X conditional independence and exchangeability to reduce these errors. Moreover, the model-X assumption often only holds up to an estimation error, invalidating exact type-I error guarantees. We provide estimation error bounds that accommodate triple robustness results, achieving fast convergence rates.
Related
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BibTeX
@misc{reyerolobo2026sequential,
title = {{Sequential Conditional Independence Testing with Machine Learning Models}},
author = {Angel Reyero-Lobo and Michele Meziu and Sebastian Uriel Arias and Peter Grünwald},
howpublished = {arXiv},
year = {2026},
month = oct,
doi = {10.48550/arxiv.2610.11388},
eprint = {2610.11388},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2610.11388},
note = {CC BY 4.0},
}
RIS
TY - UNPB
TI - Sequential Conditional Independence Testing with Machine Learning Models
AU - Angel Reyero-Lobo
AU - Michele Meziu
AU - Sebastian Uriel Arias
AU - Peter Grünwald
PY - 2026
DA - 2026/10/08
PB - arXiv
DO - 10.48550/arxiv.2610.11388
UR - https://arxiv.org/abs/2610.11388
AB - Conditional independence testing is a ubiquitous problem in scientific discovery. The widely employed model-X assumption shifts the modelling burden from the dependence of the output on the inputs to the dependencies within the inputs. Log-optimal e-variables have been studied in this setting, but it remains unclear how to incorporate machine learning models into their design. Other approaches test exchangeability directly, yielding an e-variable with lower power in theory but, surprisingly, higher power in practice. We explain this phenomenon by decomposing the error into null enlargement, approximation, and estimation error. The decomposition shows that GRO e-variable estimates can be beaten because of their worse approximation and estimation errors, and we explore intermediate null hypotheses between model-X conditional independence and exchangeability to reduce these errors. Moreover, the model-X assumption often only holds up to an estimation error, invalidating exact type-I error guarantees. We provide estimation error bounds that accommodate triple robustness results, achieving fast convergence rates.
ER -