Variance Reduction for Heavy-Tailed Monetization Metrics in Ranking Experiments via Post-Stratification
This study addresses the challenge of high variance and low statistical power in online ranking experiments, where revenue-related metrics often exhibit heavy-tailed distributions—particularly problematic under limited traffic conditions. The authors propose a novel integration of post-stratification with the CUPED (Controlled-experiment Using Pre-Experiment Data) method, leveraging pre-experiment covariates to jointly reduce variance for heavy-tailed reward metrics. This approach significantly enhances experimental sensitivity without requiring additional traffic. Empirical deployment at ShareChat demonstrates substantial variance reduction, yielding approximately a 45% decrease in the required sample size to achieve equivalent statistical confidence. The work also provides a systematic characterization of the method’s applicability conditions and practical implementation guidelines.