Test for non-negligible adverse shifts
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Statistical tests for dataset shift are susceptible to false alarms: they are sensitive to minor differences where there is in fact adequate sample coverage and predictive performance. We propose instead a robust framework for tests of dataset shift based on outlier scores, D-SOS for short. D-SOS detects adverse shifts and can identify false alarms caused by benign ones. It posits that a new (test) sample is not substantively worse than an old (training) sample, and not that the two are equal. The key idea is to reduce observations to outlier scores and compare contamination rates. Beyond comparing distributions, users can define what worse means in terms of predictive performance and other relevant notions. We show how versatile and practical D-SOS is for a wide range of real and simulated datasets. Unlike tests of equal distribution and of goodness-of-fit, the D-SOS tests are uniquely tailored to serve as robust performance metrics to monitor model drift and dataset shift.
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