Small-Sample Error Estimation for Bagged Classification Rules

Abstract

Application of ensemble classification rules in genomics and proteomics has become increasingly common. However, the problem of error estimation for these classification rules, particularly for bagging under the small-sample settings prevalent in genomics and proteomics, is not well understood. Breiman proposed the "out-of-bag" method for estimating statistics of bagged classifiers, which was subsequently applied by other authors to estimate the classification error. In this paper, we give an explicit definition of the out-of-bag estimator that is intended to remove estimator bias, by formulating carefully how the error count is normalized. We also report the results of an extensive simulation study of bagging of common classification rules, including LDA, 3NN, and CART, applied on both synthetic and real patient data, corresponding to the use of common error estimators such as resubstitution, leave-one-out, cross-validation, basic bootstrap, bootstrap 632, bootstrap 632 plus, bolstering, semi-bolstering, in addition to the out-of-bag estimator. The results from the numerical experiments indicated that the performance of the out-of-bag estimator is very similar to that of leave-one-out; in particular, the out-of-bag estimator is slightly pessimistically biased. The performance of the other estimators is consistent with their performance with the corresponding single classifiers, as reported in other studies.