Conditional confidence intervals for classification error rate

Authors:
Hie-Choon Chung;Chien-Pai Han
Affiliations:
Gwangju University, Department of e-Business, 592-1 Jinwol-dong, Nam-gu, 503-703 Gwangju, Republic of Korea;University of Texas at Arlington, Department of Mathematics, TX 76019-0408, United States
Venue:
Computational Statistics & Data Analysis
Year:
2009

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Abstract

An observation is to be classified into one of several multivariate normal populations with equal covariance matrix. When the parameters are unknown, independent training samples are taken from the populations. We consider the construction of confidence intervals for the conditional error rate. The cases of two populations and three populations are studied in detail. We propose the conditional jackknife confidence interval and the conditional bootstrap confidence intervals of the conditional error rate. A Monte Carlo study is conducted to compare the confidence intervals.