We present a novel inference approach that we call Sample Out-of-Sample (or SOS) inference. The approach can be used widely, ranging from semi-supervised learning to stress testing, and it is fundamental in the application of data-driven Distributionally Robust Optimization (DRO). Our method enables measuring the impact of plausible out-of-sample scenarios in a given performance measure of interest, such as a financial loss. The methodology is inspired by Empirical Likelihood (EL), but we optimize the empirical Wasserstein distance (instead of the empirical likelihood) induced by observations. From a methodological standpoint, our analysis of the asymptotic behavior of the induced Wasserstein-distance profile function shows dramatic qualitative differences relative to EL. For instance, in contrast to EL, which typically yields chi-squared weak convergence limits, our asymptotic distributions are often not chi-squared. Also, the rates of convergence that we obtain have some dependence on the dimension in a non-trivial way but remain controlled as the dimension increases.
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