Handling covariate shift by model averaging

Yifan Zhang; Tianfa Xie; Xinyu Zhang

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arXiv · 2608.14025

Handling covariate shift by model averaging

Yifan Zhang·Tianfa Xie·Xinyu Zhang

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Abstract

Distributional mismatch between the data used to construct a statistical procedure and the population to which it is ultimately applied is pervasive in modern data analysis. We study covariate shift, a fundamental instance of this problem, and develop an adaptive importance-weighted model averaging method for prediction when labeled observations are available from a source distribution, whereas only unlabeled covariates are observed from the target distribution. Procedures fitted directly to the source sample generally optimize prediction risk under the source distribution and may therefore be suboptimal for target prediction. Importance weighting by the density ratio between the target and source covariate marginals provides a natural correction, but a small number of large density-ratio values can substantially inflate the variance of the resulting estimator in finite samples. We address this bias-variance trade-off by treating the degree of importance-weighting correction as a source of model uncertainty. Specifically, we construct a family of adaptive importance-weighted least-squares estimators by raising the estimated density ratio to a range of exponents, with the endpoints corresponding to ordinary least squares and standard importance-weighted least squares, and form a data-driven average over these candidates. Under model misspecification, the proposed model averaging estimator is shown to be asymptotically optimal relative to the infeasible best convex combination of the candidate estimators. Under correct specification, a diverging penalty is shown to make the selected weights concentrate near the ordinary least-squares endpoint. Simulations and a real-data application show that the proposed method achieves competitive target-prediction performance across the settings considered.

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BibTeX RIS

Yifan Zhang, Tianfa Xie, Xinyu Zhang. 2026-08-14. Handling covariate shift by model averaging. https://arxiv.org/abs/2608.14025

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