The s-value: evaluating stability with respect to distributional shifts
Suyash Gupta, Dominik Rothenhäusler
Abstract
Common statistical measures of uncertainty such as p-values and confidence intervals quantify the uncertainty due to sampling, that is, the uncertainty due to not observing the full population. However, sampling is not the only source of uncertainty. In practice, distributions change between locations and across time. This makes it difficult to gather knowledge that transfers across data sets. We propose a measure of instability that quantifies the distributional instability of a statistical parameter with respect to Kullback-Leibler divergence, that is, the sensitivity of the parameter under general distributional perturbations within a Kullback-Leibler divergence ball. In addition, we quantify the instability of parameters with respect to directional or variable-specific shifts. Measuring instability with respect to directional shifts can be used to detect under which kind of distribution shifts a statistical conclusion might be reversed. We discuss how such knowledge can inform data collection for transfer learning of statistical parameters under shifted distributions. We evaluate the performance of the proposed measure on real data and show that it can elucidate the distributional instability of a parameter with respect to certain shifts and can be used to improve estimation accuracy under shifted distributions. Introduction Test data sets collected in different locations or at different time points often are drawn from different distributions, due to changing circumstances, changes in unmeasured confounders, time shifts in distribution, or distributional shifts in covariates [46, 20, 16, 21] . This makes it difficult to gather knowledge that transfers across data sets. Statistical estimands such as a regression coefficient or the average treatment effect (ATE) may vary as the underlying distribution changes and hence, statistical findings (such as that the treatment effect is positive) may not replicate across data sets [4, 23] . In causal inference, the rapidly growing field of sensitivity analysis [12, 42, 16, 55, 11] quantifies the stability of an estimate with respect to unobserved confounding. Roughly speaking, this line of work sees stability analysis as part of uncertainty quantification. Inspired by this line of work, we aim to bring a similar type of stability analysis to a wider range of statistical procedures. In this paper, we propose a measure of instability, called the s-value, to investigate the stability of a given statistical parameter with respect to a shift in the underlying distribution (Figure 1 ). The s-value quantifies the minimum shift in distribution required to tilt the parameter to a given value, using Kullback-Leibler divergence. We also investigate the stability of parameters with respect to directional or variable-specific shifts. The proposed measure can be used as an exploratory tool to identify the kind of distribution shift that could reverse a statistical conclusion. We further discuss 37th Conference on Neural Information Processing Systems (NeurIPS 2023).
Ask about this paper
Your agent reads all of it.
Lune indexed this paper to the last equation, along with the top-tier papers that cite it. Ask a question and the answer quotes them.
Your agent calls
Luneget_paper_fulltext
Free to start. No credit card required.
Terminal
Install the CLIlune papers fulltext 0257d456-0e65-4276-94be-ed8992d2f9e4Cited by top-tier papers2
- Stability Evaluation through Distributional Perturbation AnalysisJosé H. Blanchet, Peng Cui, Jiajin Li, Jiashuo LiuICML 2024 · 6 citations
- Statistical Inference Under Constrained Selection BiasSantiago Cortes-Gomez, Mateo Dulce-Rubio, Carlos Miguel Patiño, Bryan WilderICML 2024
Related papers
- Efficient and Sharp Off-Policy Evaluation in Robust Markov Decision ProcessesAndrew Bennett, Nathan Kallus, Miruna Oprescu, Wen Sun et al.NeurIPS 2024 · 7 citations
- Sharp Bounds for Generalized Causal Sensitivity AnalysisDennis Frauen, Valentyn Melnychuk, Stefan FeuerriegelNeurIPS 2023 · 36 citations
- Not all distributional shifts are equal: Fine-grained robust conformal inferenceJiahao Ai, Zhimei RenICML 2024 · 15 citations
- Predicting with Confidence on Unseen DistributionsDevin Guillory, Vaishaal Shankar, Sayna Ebrahimi, Trevor Darrell et al.ICCV 2021 · 141 citations
- Estimate Level Adjustment For Inference With Proxies Under Random Distribution ShiftsSteven Wilkins-Reeves, Alexandra N. M. Darmon, Deeksha SinhaKDD 2026 · 1 citation
