Post-ADC Inference: Valid Inference After Active Data Collection
- URL: http://arxiv.org/abs/2605.11511v1
- Date: Tue, 12 May 2026 04:27:51 GMT
- Title: Post-ADC Inference: Valid Inference After Active Data Collection
- Abstract summary: We study statistical inference on actively collected data when the inferential target is constructed in a data-dependent manner after data collection.<n>We propose post-ADC inference, a framework that accounts for the biases arising from both the active data collection process and the subsequent data-driven target construction.<n>Our method builds on selective inference and provides valid $p$-values and confidence intervals that correct for both sources of bias.
- Score: 9.892633657809785
- License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
- Abstract: The validity of statistical inference depends critically on how data are collected. When data gathered through active data collection (ADC) are reused for a post-hoc inferential task, conventional inference can fail because the sampling is adaptively biased toward regions favored by the collection strategy. This issue is especially pronounced in black-box optimization, where sequential model-based optimization (SMBO) methods such as the tree-structured Parzen estimator (TPE) and Gaussian process upper confidence bound (GP-UCB) preferentially concentrate evaluations in promising regions. We study statistical inference on actively collected data when the inferential target is constructed in a data-dependent manner after data collection. To enable valid inference in this setting, we propose post-ADC inference, a framework that accounts for the biases arising from both the active data collection process and the subsequent data-driven target construction. Our method builds on selective inference and provides valid $p$-values and confidence intervals that correct for both sources of bias. The framework applies to a broad class of ADC processes by imposing only assumptions on the observation noise, without requiring any assumptions on the underlying black-box function or the surrogate model used by the SMBO algorithm. Empirical results also show that post-ADC inference provides valid inference for data collected by GP-UCB and TPE.
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