Statistical Estimation Under Distribution Shift: Wasserstein Perturbations and Minimax Theory

Distribution shifts are a serious concern in modern statistical learning as they can systematically change the properties of the data away from the truth. We focus on Wasserstein distribution shifts, where every data point may undergo a slight perturbation, as opposed to the Huber contamination model where a fraction of observations are outliers. We formulate and study shifts beyond independent perturbations, exploring Joint Distribution Shifts, where the per-observation perturbations can be coordinated. We analyze several important statistical problems, including location estimation, linear regression, and non-parametric density estimation. Under a squared loss for mean estimation and prediction error in linear regression, we find the exact minimax risk, a least favorable perturbation, and show that the sample mean and least squares estimators are respectively optimal. This holds for both independent and joint shifts, but the least favorable perturbations and minimax risks differ. For other problems, we provide nearly optimal estimators and precise finite-sample bounds. We also introduce several tools for bounding the minimax risk under distribution shift, such as a smoothing technique for location families, and generalizations of classical tools including least favorable sequences of priors, the modulus of continuity, Le Cam's, Fano's, and Assouad's methods.