Practical Confidence and Prediction Intervals

摘要: We propose a new method to compute prediction intervals. Espe (cid: 173) cially for small data sets the width of a prediction interval does not only depend on the variance of the target distribution, but also on the accuracy of our estimator of the mean of the target, ie, on the width of the confidence interval. The confidence interval follows from the variation in an ensemble of neural networks, each of them trained and stopped on bootstrap replicates of the original data set. A second improvement is the use of the residuals on validation pat (cid …