The Noise Is the Signal: Correlated Sampling Error Is Rank-Informative for Proxy Metric Selection
This study addresses the challenge of surrogate metric selection in A/B testing, where high noise and limited sample sizes compromise the reliability of north star metrics. Departing from conventional approaches that treat shared sampling error between surrogate and north star metrics as contamination requiring correction, this work proposes a paradigm-shifting "noise-as-signal" framework. We demonstrate that such shared errors encode critical ranking information. Through disjoint subset estimation, Spearman rank correlation analysis, and validation across 262 real-world experiments, we find that shared sampling error aligns strongly with true metric rankings (correlation coefficient of 0.65), and removing it significantly degrades surrogate ranking accuracy. This research establishes the positive value of error correlation for model selection, offering online platforms a cost-effective evaluation strategy for surrogate metric assessment.