Statistical Learning under Heterogeneous Distribution Shift

This paper studies the prediction of a target z from a pair of random variables (x,y), where the ground-truth predictor is additive mathbbE[z mid x,y] = f_star(x) +gstar(y). We study the performance of empirical risk minimization (ERM) over functions f+g, f ∈ F and g ∈ G, fit on a given training distribution, but evaluated on a test distribution which exhibits covariate shift. We show that, when the class F is "simpler" than G (measured, e.g., in terms of its metric entropy), our predictor is more resilient to heterogeneous covariate shifts in which the shift in x is much greater than that in y. Our analysis proceeds by demonstrating that ERM behaves qualitatively similarly to orthogonal machine learning: the rate at which ERM recovers the f-component of the predictor has only a lower-order dependence on the complexity of the class G, adjusted for partial non-indentifiability introduced by the additive structure. These results rely on a novel H"older style inequality for the Dudley integral which may be of independent interest. Moreover, we corroborate our theoretical findings with experiments demonstrating improved resilience to shifts in "simpler" features across numerous domains.