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Abstract Class for Confidence Intervals

Source: R/MeasureAbstractCi.R
mlr_measures_abstract_ci.Rd

Base class for confidence interval measures. See section Inheriting on how to add a new method.

Details

The aggregator of the wrapped measure is ignored, as the inheriting CI dictates how the point estimate is constructed. If a measure for which to calculate a CI has $obs_loss but also a $trafo, (such as RMSE), the delta method is used to obtain confidence intervals.

Parameters

  • alpha :: numeric(1)
    The desired alpha level. This is initialized to $0.05$.

  • within_range :: logical(1)
    Whether to restrict the confidence interval within the range of possible values. This is initialized to TRUE.

Inheriting

To define a new CI method, inherit from the abstract base class and implement the private method: ci: function(tbl: data.table, rr: ResampleResult, param_vals: named list()) -> numeric(3) Here, tbl contains the columns loss, row_id and iteration, which are the pointwise loss, the identifier of the observation and the resampling iteration. It should return a vector containing the estimate, lower and upper boundary in that order.

In case the confidence interval is not of the form (estimate, estimate - z * se, estimate + z * se) it is also necessary to implement the private method: .trafo: function(ci: numeric(3), measure: Measure) -> numeric(3) Which receives a confidence interval for a pointwise loss (e.g. squared-error) and transforms it according to the transformation measure$trafo (e.g. sqrt to go from mse to rmse).

Super class

mlr3::Measure -> MeasureAbstractCi

Public fields

resamplings

(character())
On which resampling classes this method can operate.

measure

(Measure)

Methods

Public methods

Inherited methods

Method new()

Creates a new instance of this R6 class.

Usage

MeasureAbstractCi$new(
  measure = NULL,
  param_set = ps(),
  packages = character(),
  resamplings,
  label,
  delta_method = FALSE
)

Arguments

measure

(Measure)
The measure for which to calculate a confidence interval. Must have $obs_loss.

param_set

(ParamSet)
Set of hyperparameters.

packages

(character())
Set of required packages. A warning is signaled by the constructor if at least one of the packages is not installed, but loaded (not attached) later on-demand via requireNamespace().

resamplings

(character())
To which resampling classes this measure can be applied.

label

(character(1))
Label for the new instance.

delta_method

(logical(1))
Whether to use the delta method for measures (such RMSE) that have a trafo.

Method aggregate()

Obtain a point estimate, as well as lower and upper CI boundary.

Usage

MeasureAbstractCi$aggregate(rr)

Arguments

rr

(ResampleResult)
The resample result.

Returns

named numeric(3)

Method clone()

The objects of this class are cloneable with this method.

Usage

MeasureAbstractCi$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.