Influence Diagnostics in High-dimensional M-estimation: Precise Asymptotics
The impact of a given training point on a statistical model is classically measured through its leave-one-out influence, which quantifies the effect of its removal from the training set on the model accuracy. While the statistics of leave-one-out influences are well understood in the low-dimensional, large sample limit $n\to \infty, d=O(1)$, they become more intricate in high dimensions, as the influence of a given sample develops non-trivial dependencies on all other training samples. For convex M-estimation under Gaussian design, in the high-dimensional limit $n\asymp d$, we show that the distribution of the influences across the training set converges to a limiting measure which we sharply characterize. Building on these results, we provide evidence that influential samples tend to lie close to the decision boundary, thereby making contact with a standard data selection heuristic in active learning.