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Confidence Intervals for the Generalisation Error of Random Forests

TLDR
Out-of-bag error is commonly used as an estimate of generalisation error in ensemble-based learning models such as random forests and it is shown that these new confidence intervals have improved coverage properties over the näıve confidence interval, in real and simulated examples.
Abstract
Out-of-bag error is commonly used as an estimate of generalisation error in ensemble-based learning models such as random forests. We present confidence intervals for this quantity using the delta-method-after-bootstrap and the jackknife-after-bootstrap techniques. These methods do not require growing any additional trees. We show that these new confidence intervals have improved coverage properties over the naive confidence interval, in real and simulated examples.

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References
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Journal ArticleDOI

A new look at the statistical model identification

TL;DR: In this article, a new estimate minimum information theoretical criterion estimate (MAICE) is introduced for the purpose of statistical identification, which is free from the ambiguities inherent in the application of conventional hypothesis testing procedure.

Estimating the dimension of a model

TL;DR: In this paper, the problem of selecting one of a number of models of different dimensions is treated by finding its Bayes solution, and evaluating the leading terms of its asymptotic expansion.
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The Elements of Statistical Learning

Eric R. Ziegel
- 01 Aug 2003 - 
TL;DR: Chapter 11 includes more case studies in other areas, ranging from manufacturing to marketing research, and a detailed comparison with other diagnostic tools, such as logistic regression and tree-based methods.
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Estimation of the Mean of a Multivariate Normal Distribution

Charles Stein
- 01 Nov 1981 - 
TL;DR: In this article, an unbiased estimate of risk is obtained for an arbitrary estimate, and certain special classes of estimates are then discussed, such as smoothing by using moving averages and trimmed analogs of the James-Stein estimate.
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Estimating the Error Rate of a Prediction Rule: Improvement on Cross-Validation

TL;DR: In this paper, a prediction rule is constructed on the basis of some data, and then the error rate of this rule is estimated in classifying future observations using cross-validation.