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The Binomial Block Bootstrap Estimator for Evaluating Loss on Dependent Clusters
Proceedings of the 33rd Conference on Uncertainty in Artificial Intelligence, PMLR R15:799-808, 2017.
Abstract
In this paper, we study the non-IID learn- ing setting where samples exhibit dependency within latent clusters. Our goal is to esti- mate a learner’s loss on new clusters, an ex- tension of the out-of-bag error. Previously developed cross-validation estimators are well suited to the case where the clustering of ob- served data is known a priori. However, as is often the case in real world problems, we are only given a noisy approximation of this clustering, likely the result of some clustering algorithm. This subtle yet potentially signifi- cant issue afflicts domains ranging from image classification to medical diagnostics, where naive cross-validation is an optimistically bi- ased estimator. We present a novel bootstrap technique and corresponding cross-validation method that, somewhat counterintuitively, in- jects additional dependency to asymptotically recover the loss in the independent setting.