Importance weighting is widely applicable in machine learning in general and in techniques dealing with data covariate shift problems in particular. A novel, direct approach to determine such importance weighting is presented. It relies on a nearest neighbor classification scheme and is relatively straightforward to implement. Comparative experiments on various classification tasks demonstrate the effectiveness of our so-called nearest neighbor weighting (NNeW) scheme. Considering its performance, our procedure can act as a simple and effective baseline method for importance weighting.
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