Holdout sets for safe predictive model updating
Sami Haidar-Wehbe, Samuel R. Emerson, Louis J. M. Aslett, James Liley
The Annals of Applied Statistics · 2025 · Volume 19 · Issue 2
Abstract
Predictive risk scores for adverse outcomes are increasingly crucial in guiding health interventions. Such scores may need to be periodically updated due to change in the distributions they model. However, directly updating risk scores used to guide intervention can lead to biased risk estimates. To address this, we propose updating using a “holdout set”, a subset of the population that does not receive interventions guided by the risk score. Balancing the holdout set size is essential to ensure good performance of the updated risk score while minimising the number of held out samples. We prove that this approach reduces adverse outcome frequency to an asymptotically optimal level and argue that often there is no competitive alternative. We describe conditions under which an optimal holdout size (OHS) can be readily identified and introduce parametric and semiparametric algorithms for OHS estimation. We apply our methods to the ASPRE risk score for pre-eclampsia to recommend a plan for updating it in the presence of change in the underlying data distribution. We show that, in order to minimise the number of pre-eclampsia cases over time, this is best achieved using a holdout set of around 10,000 individuals.
Keywords
Model updating, performative prediction, updating paradox
Enable JavaScript for citation tools and additional paper interactions.