问题
How to obtain a confidence interval or a measure of prediction dispersion when using xgboost for classification?
So for example, if xgboost predicts a probability of an event is 0.9, how can the confidence in that probability be obtained?
Also is this confidence assumed to be heteroskedastic?
回答1:
To produce confidence intervals for xgboost model you should train several models (you can use bagging for this). Each model will produce a response for test sample - all responses will form a distribution from which you can easily compute confidence intervals using basic statistics. You should produce response distribution for each test sample.
来源：https://stackoverflow.com/questions/37418938/how-to-obtain-a-confidence-interval-or-a-measure-of-prediction-dispersion-when-u