I might be wrong but it seems like Mathieu is working on something similar
for Ridge this: https://github.com/scikit-learn/scikit-learn/pull/3417
2014-07-22 21:47 GMT+02:00 Peter Prettenhofer <peter.prettenho...@gmail.com>
:
> Hi Yogesh,
>
> one of the few regressors that supports this in sklearn is GaussianProcess
> but that wont scale to your problem.
> An alternative is to use a GradientBoostingRegressor with quantile loss to
> generate prediction intervals (see [1]) -- only for the keen - i've once
> used that unsuccessfully in a Kaggle comp. Its not a confidence score
> though -- it can only tell you if its within a band.
> Maybe one can generate a confidence score from Random Forests... I
> remember that I read something along those lines in this survey [2].
>
> best,
> Peter
>
> [1]
> http://scikit-learn.org/stable/auto_examples/ensemble/plot_gradient_boosting_quantile.html
> [2] http://research.microsoft.com/apps/pubs/default.aspx?id=155552
>
> 2014-07-22 19:52 GMT+02:00 Yogesh Pandit <yogesh...@gmail.com>:
>
>> Hello,
>>
>> I am working with regressors (sklearn.ensemble). Shape of my test data
>> is (1121280, 452)
>>
>> I am wondering on how I can associate a confidence score for prediction
>> for each sample from my test data. Any suggestions would be helpful. Thank
>> you,
>>
>> -Yogesh
>>
>>
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>
>
> --
> Peter Prettenhofer
>
--
Peter Prettenhofer
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