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2008 P-values for classification
Lutz Dümbgen, Bernd-Wolfgang Igl, Axel Munk
Electron. J. Statist. 2(none): 468-493 (2008). DOI: 10.1214/08-EJS245


Let (X,Y) be a random variable consisting of an observed feature vector $X\in \mathcal{X}$ and an unobserved class label Y{1,2,,L} with unknown joint distribution. In addition, let $\mathcal{D}$ be a training data set consisting of n completely observed independent copies of (X,Y). Usual classification procedures provide point predictors (classifiers) $\widehat{Y}(X,\mathcal{D})$ of Y or estimate the conditional distribution of Y given X. In order to quantify the certainty of classifying X we propose to construct for each θ=1,2,,L a p-value $\pi_{\theta}(X,\mathcal{D})$ for the null hypothesis that Y=θ, treating Y temporarily as a fixed parameter. In other words, the point predictor $\widehat{Y}(X,\mathcal{D})$ is replaced with a prediction region for Y with a certain confidence. We argue that (i) this approach is advantageous over traditional approaches and (ii) any reasonable classifier can be modified to yield nonparametric p-values. We discuss issues such as optimality, single use and multiple use validity, as well as computational and graphical aspects.


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Lutz Dümbgen. Bernd-Wolfgang Igl. Axel Munk. "P-values for classification." Electron. J. Statist. 2 468 - 493, 2008.


Published: 2008
First available in Project Euclid: 26 June 2008

zbMATH: 1138.60313
MathSciNet: MR2417390
Digital Object Identifier: 10.1214/08-EJS245

Primary: 62C05, 62F25, 62G09, 62G15, 62H30

Rights: Copyright © 2008 The Institute of Mathematical Statistics and the Bernoulli Society


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