Transfer Learning with Multi-source Data: High-dimensional Inference for
Group Distributionally Robust Models
- URL: http://arxiv.org/abs/2011.07568v3
- Date: Wed, 16 Feb 2022 20:19:23 GMT
- Title: Transfer Learning with Multi-source Data: High-dimensional Inference for
Group Distributionally Robust Models
- Authors: Zijian Guo
- Abstract summary: Learning with multi-source data helps improve model generalizability and is integral to many important statistical problems.
This paper considers multiple high-dimensional regression models for the multi-source data.
We devise a novel it DenseNet sampling method to construct valid confidence intervals for the high-dimensional maximin effect.
- Score: 0.0
- License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
- Abstract: The construction of generalizable and transferable models is a fundamental
goal of statistical learning. Learning with the multi-source data helps improve
model generalizability and is integral to many important statistical problems,
including group distributionally robust optimization, minimax group fairness,
and maximin projection. This paper considers multiple high-dimensional
regression models for the multi-source data. We introduce the covariate shift
maximin effect as a group distributionally robust model. This robust model
helps transfer the information from the multi-source data to the unlabelled
target population. Statistical inference for the covariate shift maximin effect
is challenging since its point estimator may have a non-standard limiting
distribution. We devise a novel {\it DenseNet} sampling method to construct
valid confidence intervals for the high-dimensional maximin effect. We show
that our proposed confidence interval achieves the desired coverage level and
attains a parametric length. Our proposed DenseNet sampling method and the
related theoretical analysis are of independent interest in addressing other
non-regular or non-standard inference problems. We demonstrate the proposed
method over a large-scale simulation and genetic data on yeast colony growth
under multiple environments.
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