Preserving Statistical Validity in Adaptive Data Analysis

EADS Talk by Moritz Hardt, Tuesday November 25 at 13:00-14:00

Abstract

A great deal of effort has been devoted to reducing the risk of spurious scientific discoveries, from the use of sophisticated validation techniques, to deep statistical methods for controlling the false discovery rate in multiple hypothesis testing.  However, there is a fundamental disconnect between the theoretical results and the practice of data analysis: the theory of statistical inference assumes a fixed collection of hypotheses to be tested, or learning algorithms to be applied, selected non-adaptively before the data are gathered, whereas in practice data is shared and reused with hypotheses and new analyses being generated on the basis of data exploration and the outcomes of previous analyses.

In this work we initiate a principled study of how to guarantee the validity of statistical inference in adaptive data analysis. As an instance of this problem, we propose and investigate the question of estimating the expectations of m adaptively chosen functions on an unknown distribution given n random samples.

We show that, surprisingly, there is a way to estimate an exponential in n number of expectations accurately even if the functions are chosen adaptively. This gives an exponential improvement over standard empirical estimators that are limited to a linear number of estimates. Our result follows from a general technique that counter-intuitively involves actively perturbing and coordinating the estimates, using techniques developed for privacy preservation. We give additional applications of this technique to our question.

Moritz Hardt is a research staff member in the theory group at IBM Research Almaden. He joined IBM Almaden after completing a PhD in Computer Science at Princeton University in 2011.

He has a wide range of research interests, including algorithms for machine learning, computational trade-offs in statistics, privacy-preserving data analysis, social questions in data mining, and applications of complexity theory.