How biased is your model? Concentration Inequalities, Information and Model Bias

Abstract: We derive tight and computable bounds on the bias of statistical estimators, or more generally of quantities of interest, when evaluated on a baseline model P rather than on the typically unknown true model Q. Our proposed method combines the scalable information inequality derived by P. Dupuis, K.Chowdhary, the authors and their collaborators together with classical concentration inequalities (such as Bennett's and Hoeffding-Azuma inequalities). Our bounds are expressed in terms of the Kullback-Leibler divergence R(Q||P) of model Q with respect to P and the moment generating function for the statistical estimator under P. Furthermore, concentration inequalities, i.e. bounds on moment generating functions, provide tight and computationally inexpensive model bias bounds for quantities of interest. Finally, they allow us to derive rigorous confidence bands for statistical estimators that account for model bias and are valid for an arbitrary amount of data.