A Proofs

In this proof, we use the notion of weighted exchangeability as defined in Section 3.2 of [27]. A.2 Proof of Proposition 4.2 The following proof is an adaptation of [14, Proposition 1] to our setting. To get from (32) to (33), we use Assumption 2 and Markov's inequality. B.1 Further comments on the differences between [14] and COPP In this subsection, we elaborate on the differences between our work and [14]. As mentioned in in the main text, given that we are integrating out the action in Eq. 7, we are essentially able to use the full dataset when constructing the CP intervals.