Unbiased Statistical Estimation and Valid Confidence Sets Under Differential Privacy

We present a method for producing unbiased parameter estimates and valid confidence sets under the constraints of differential privacy. Prior work in this area is limited in that it is tailored to calculating confidence intervals for specific statistical procedures, such as mean estimation or simple linear regression. While other recent work can produce confidence intervals for more general sets of procedures, they either yield only approximately unbiased estimates, are designed for one-dimensional outputs, or assume significant user knowledge about the data-generating distribution. In contrast, our method uses the CoinPress algorithm in tandem with the Sample-Aggregate framework to produce estimates from general high-dimensional estimators that are, with high probability, unbiased and have valid confidence sets. These theoretical guarantees hold provided that the estimator, when applied over subsets of a random partition of the original data, produces estimates following a multivariate Gaussian distribution. We also propose improvements to the existing CoinPress algorithm which we find lead to more accurate estimates in practice.