Using beta binomials to estimate classification uncertainty for ensemble models

Abstract

Confidence in an individual predictive classification by an ensemble model can be accurately assessed by examining the distributions of predictions and errors as a function of the degree of agreement among the constituent submodels. Further, ensemble uncertainty estimation can often be improved by adjusting the voting or classification threshold based on the parameters of the error distribution. Finally, the profiles for models whose predictive uncertainty estimates are not reliable provide clues to that effect without the need for comparison to an external test set.