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CounterexampleConstruction: AI-generatedVerification: AI-generatedPipeline-generatedprecheck passjudge pass (gpt-6-luna)
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Marginal split coverage need not give rare-subgroup coverage

Statement refuted

Marginal split-conformal coverage at level 1−α forces coverage at least 1−α conditional on every feature subgroup.

Facts & Assumptions

Given: The feature group space {A,B} and response space {0,1} have their power-set sigma-algebras. The group variable satisfies P(G=A)=0.01 and P(G=B)=0.99, and the response is always Y=0. There are nine calibration examples and one test example, all mutually independent and identically distributed according to this law. The score is s(G,y)=1{G=A}, and α=0.1.

[F1]

Independence of random elements means their generated sigma-algebras are independent, so events determined by distinct examples factor. Independent random elements

[F2]

The split algorithm uses k=⌈(m+1)(1−α)⌉ and predicts y when its score is at most the calibration threshold. Split conformal prediction set

[F3]

The split conformal theorem guarantees marginal coverage at least 1−α under exchangeability. Split conformal marginal coverage

Counterexample

1.1givenF1F2

For m=9 and α=1/10, k=⌈10⋅9/10⌉=9, so q is the maximum of the nine calibration scores. Each score is 1 with probability 1/100 and 0 with probability 99/100. The events {Gi=B} are measurable from their respective examples, so [F1] makes them mutually independent and independent of {G10=A}. Conditional on G10=A, no calibration example is in group A with probability ∏i=19P(Gi=B)=(99/100)9. The test score is 1 and is covered exactly when at least one calibration example has group A; thus the conditional coverage is 1−(99/100)9≈864827/107<9/10.

2.1givenF2F3step 1.1∎

A group-B test has score 0≤q and is always covered. Hence marginal coverage is 99/100+(1/100)(1−(99/100)9)≈9908648/107≥9/10, consistent with [F3], while the rare-group conditional coverage violates the refuted claim.

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