A hierarchical decomposition for explaining ML performance discrepancies

Machine learning (ML) algorithms can often differ in performance across domains. Understanding textitwhy their performance differs is crucial for determining what types of interventions (e.g., algorithmic or operational) are most effective at closing the performance gaps. Existing methods focus on textitaggregate decompositions of the total performance gap into the impact of a shift in the distribution of features p(X) versus the impact of a shift in the conditional distribution of the outcome p(Y|X); however, such coarse explanations offer only a few options for how one can close the performance gap. textitDetailed variable-level decompositions that quantify the importance of each variable to each term in the aggregate decomposition can provide a much deeper understanding and suggest much more targeted interventions. However, existing methods assume knowledge of the full causal graph or make strong parametric assumptions. We introduce a nonparametric hierarchical framework that provides both aggregate and detailed decompositions for explaining why the performance of an ML algorithm differs across domains, without requiring causal knowledge. We derive debiased, computationally-efficient estimators, and statistical inference procedures for asymptotically valid confidence intervals.