Title: Effects of sampling skewness of the importance-weighted risk estimator on model selection,
Abstract: Importance-weighting is a popular and well-researched technique for dealing
with sample selection bias and covariate shift. It has desirable
characteristics such as unbiasedness, consistency and low computational
complexity. However, weighting can have a detrimental effect on an estimator as
well. In this work, we empirically show that the sampling distribution of an
importance-weighted estimator can be skewed. For sample selection bias
settings, and for small sample sizes, the importance-weighted risk estimator
produces overestimates for datasets in the body of the sampling distribution,
i.e. the majority of cases, and large underestimates for data sets in the tail
of the sampling distribution. These over- and underestimates of the risk lead
to suboptimal regularization parameters when used for importance-weighted
validation.