Are all models wrong? Fundamental limits in distribution-free empirical model falsification
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Abstract (arXiv)
In statistics and machine learning, when we train a fitted model on available data, we typically want to ensure that we are searching within a model class that contains at least one accurate model -- that is, we would like to ensure an upper bound on the model class risk (the lowest possible risk that can be attained by any model in the class). However, it is also of interest to establish lower bounds on the model class risk, for instance so that we can determine whether our fitted model is at least approximately optimal within the class, or, so that we can decide whether the model class is unsuitable for the particular task at hand. Particularly in the setting of interpolation learning where machine learning models are trained to reach zero error on the training data, we might ask if, at the very least, a positive lower bound on the model class risk is possible -- or are we unable to detect that "all models are wrong"? In this work, we answer these questions in a distribution-free setting by establishing a model-agnostic, fundamental hardness result for the problem of constructing a lower bound on the best test error achievable over a model class, and examine its implications on specific model classes such as tree-based methods and linear regression.
Key facts. Cited by 2 papers in the map (data through 14 Oct 2026). Builds on 15 of its 39 references that are in the map. First posted on arXiv 10 Feb 2025.
Builds on
15 of 39 references.
References · 15
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- 2022Conformal Risk Controlcited by 299
- 2021Distribution-Free, Risk-Controlling Prediction Setscited by 288
- 2021Learn then Test: Calibrating Predictive Algorithms to Achieve Risk Controlcited by 271
- 2024Theoretical Foundations of Conformal Predictioncited by 101
- 2018Overfitting or perfect fitting? Risk bounds for classification and regression rules that interpolatecited by 99
- 2018Does data interpolation contradict statistical optimality?cited by 95
- 2021Stability and Deviation Optimal Risk Bounds with Convergence Rate O(1/n)cited by 42
- 2019An improper estimator with optimal excess risk in misspecified density estimation and logistic regressioncited by 25
- 2021Black-box tests for algorithmic stabilitycited by 15
- 2022Memorize to Generalize: on the Necessity of Interpolation in High Dimensional Linear Regressioncited by 14
- 2018Estimating Learnability in the Sublinear Data Regimecited by 10
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Citing papers per year: 2026: 2.
2 papers.