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arXiv · 1910.03788

On Post-Selection Inference in A/B Tests

Alex Deng·Yicheng Li·Jiannan Lu·Vivek Ramamurthy
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Abstract

When interpreting A/B tests, we typically focus only on the statistically significant results and take them by face value. This practice, termed post-selection inference in the statistical literature, may negatively affect both point estimation and uncertainty quantification, and therefore hinder trustworthy decision making in A/B testing. To address this issue, in this paper we explore two seemingly unrelated paths, one based on supervised machine learning and the other on empirical Bayes, and propose post-selection inferential approaches that combine the strengths of both. Through large-scale simulated and empirical examples, we demonstrate that our proposed methodologies stand out among other existing ones in both reducing post-selection biases and improving confidence interval coverage rates, and discuss how they can be conveniently adjusted to real-life scenarios.

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Alex Deng, Yicheng Li, Jiannan Lu, Vivek Ramamurthy. 2019-10-09. On Post-Selection Inference in A/B Tests. https://doi.org/10.1145/3447548.3467129

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