In this paper, we study the accuracy of values aggregated over classes predicted by a classification algorithm. The problem is that the resulting aggregates (e.g., sums of a variable) are known to be biased. The bias can be large even for highly accurate classification algorithms, in particular when dealing with class-imbalanced data. To correct this bias, the algorithm's classification error rates have to be estimated. In this estimation, two issues arise when applying existing bias correction methods. First, inaccuracies in estimating classification error rates have to be taken into account. Second, impermissible estimates, such as a negative estimate for a positive value, have to be dismissed. We show that both issues are relevant in applications where the true labels are known only for a small set of data points. We propose a novel bias correction method using Bayesian inference. The novelty of our method is that it imposes constraints on the model parameters. We show that our method solves the problem of biased classification-based aggregates as well as the two issues above, in the general setting of multi-class classification. In the empirical evaluation, using a binary classifier on a real-world dataset of company tax returns, we show that our method outperforms existing methods in terms of mean squared error.
An alternative is an that measures the bias on the aggregate level instead of on the individual level @cite_8 . Other alternatives include averaging multiple (biased) estimators into a single, more accurate estimator @cite_9 . Such alternatives will reduce the bias of classification-based aggregates, but our proposed method will completely remove it for sufficiently large test sets.
@cite_9 @cite_8
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The bias correction to the maximum likelihood extimates of the parameters for logistic discrimination is examined under mixture and separate sampling schemes. An existing adjustment developed under mixture sampling and based on higher derivatives of the log likelihood is modified slightly for use under separate sampling. The effect of this bias correction on the sampling properties of the misclassification rates and of the estimated posterior probabilities is discussed. Given a collection of @math different estimators or classifiers, we study the problem of model selection type aggregation, i.e., we construct a new estimator or classifier, called aggregate, which is nearly as good as the best among them with respect to a given risk criterion. We define our aggregate by a simple recursive procedure which solves an auxiliary stochastic linear programming problem related to the original non-linear one and constitutes a special case of the mirror averaging algorithm. We show that the aggregate satisfies sharp oracle inequalities under some general assumptions. The results allow one to construct in an easy way sharp adaptive nonparametric estimators for several problems including regression, classification and density estimation. High-dimensional binary classification tasks, e.g. the classification of microarray samples into normal and cancer tissues, usually involve a tuning parameter adjusting the complexity of the applied method to the examined data set. By reporting the performance of the best tuning parameter value only, over-optimistic prediction errors are published. The contribution of this paper is two-fold. Firstly, we develop a new method for tuning bias correction which can be motivated by decision theoretic considerations. The method is based on the decomposition of the unconditional error rate involving the tuning procedure. Our corrected error estimator can be written as a weighted mean of the errors obtained using the different tuning parameter values. It can be interpreted as a smooth version of nested cross-validation (NCV) which is the standard approach for avoiding tuning bias. In contrast to NCV, the weighting scheme of our method guarantees intuitive bounds for the corrected error. Secondly, we suggest to use bias correction methods also to address the bias resulting from the optimal choice of the classification method among several competitors. This method selection bias is particularly relevant to prediction problems in high-dimensional data. In the absence of standards, it is common practice to try several methods successively, which can lead to an optimistic bias similar to the tuning bias. We demonstrate the performance of our method to address both types of bias based on microarray data sets and compare it to existing methods. This study confirms that our approach yields estimates competitive to NCV at a much lower computational price. This paper studies two-class (or binary) classification of elements X in R k that allows for a reject option. Based on n independent copies of the pair of random variables (X,Y ) with X 2 R k and Y 2 0,1 , we consider classifiers f(X) that render three possible outputs: 0, 1 and R. The option R expresses doubt and is to be used for few observations that are hard to classify in an automatic way. Chow (1970) derived the optimal rule minimizing the risk P f(X) 6 Y, f(X) 6 R + dP f(X) = R . This risk function subsumes that the cost of making a wrong decision equals 1 and that of utilizing the reject option is d. We show that the classification problem hinges on the behavior of the regression function (x) = E(Y |X = x) near d and 1 d. (Here d 2 [0,1 2] as the other cases turn out to be trivial.) Classification rules can be categorized into plug-in estimators and empirical risk minimizers. Both types are considered here and we prove that the rates of convergence of the risk of any estimate depends on P | (X) d| + P | (X) (1 d)| and on the quality of the estimate for or an appropriate measure of the size of the class of classifiers, in case of plug-in rules and empirical risk minimizers, respectively. We extend the mathematical framework even further by dierentiating between costs associated with the two possible errors: predicting f(X) = 0 whilst Y = 1 and predicting f(X) = 1 whilst Y = 0. Such situations are common in, for instance, medical studies where misclassifying a sick patient as healthy is worse than the opposite.