Prediction and outlier detection in classification problems

DOI10.1111/RSSB.12443MaRDI QIDQ6318568arXivFDO

Authors Leying Guan, Robert Tibshirani

Publication date 10 May 2019

Published in arXiv

Full work available at URL https://doi.org/10.1111/RSSB.12443

Mathematics Subject Classification ID

Statistics (62-XX)

arXiv classification

math.STstat.APstat.MEstat.MLstat.TH

Abstract: We consider the multi-class classification problem when the training data and the out-of-sample test data may have different distributions and propose a method called BCOPS (balanced and conformal optimized prediction sets). BCOPS constructs a prediction set $C(x)$ as a subset of class labels, possibly empty. It tries to optimize the out-of-sample performance, aiming to include the correct class as often as possible, but also detecting outliers $x$, for which the method returns no prediction (corresponding to $C(x)$ equal to the empty set). The proposed method combines supervised-learning algorithms with the method of conformal prediction to minimize a misclassification loss averaged over the out-of-sample distribution. The constructed prediction sets have a finite-sample coverage guarantee without distributional assumptions. We also propose a method to estimate the outlier detection rate of a given method. We prove asymptotic consistency and optimality of our proposals under suitable assumptions and illustrate our methods on real data examples.

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