Predictive posteriors under hidden confounding

Abstract

Predicting outcomes in external domains is challenging due to hidden confounders that potentially influence both predictors and outcomes. Well-established methods frequently rely on stringent assumptions, explicit knowledge about the distribution shift across domains, or bias-inducing regularization schemes to enhance generalization. While recent developments in point prediction under hidden confounding attempt to mitigate these shortcomings, they generally do not provide principled uncertainty quantification. We introduce a Bayesian framework that yields well-calibrated predictive distributions across external domains, supports valid model inference, and achieves posterior contraction rates that improve as the number of observed datasets increases. Simulations and a medical application highlight the remarkable empirical coverage of our approach, nearly unchanged when transitioning from low- to moderate-dimensional settings.