Sequential Kernel-based Conditional Independence Testing via Adaptive Betting

Testing conditional independence is a fundamental yet inherently difficult challenge, as controlling Type I error is impossible in general. The recently popular "Model-X" paradigm offers a solution by relying on a perfectly known conditional distribution. In traditional "one-shot" testing regimes, slight deviations from perfect knowledge are sometimes allowable, but existing work in more realistic online settings has required exact adherence to Model-X. We propose a new approach for sequential testing of conditional independence that is far more robust to estimation errors in the conditional distribution. Our method, based on online optimization of the Kernel Conditional Independence statistic, introduces a novel normalization and "truncate-and-shift" calibration strategy to the testing-by-betting paradigm. This framework greatly improves validity with estimated conditionals while still providing high power across high-dimensional synthetic benchmarks and real-world fairness tasks.