Error rate estimation on the basis of posterior probabilities

摘要

The so-called posterior probability estimator, e, formed by averaging the minimum of the posterior probabilities over a set of initial or additional observations (which need not be classified) is considered in the context of estimating the overall actual error rate for the linear discriminant function appropriate for two multivariate normal populations with a common covariance matrix. The bias of e is examined by deriving asymptotic approximations under three different models, the normal, logistic, and mixture models. The properties of e are investigated further by a series of simulation experiments for the logistic and mixture models for which there are few other available estimators.