Assessing performance of prediction rules in machine learning

Introduction: An important goal in machine learning is to assess the degree to which prediction rules are robust and replicable, since these rules are used for decision making and for planning follow-up studies. This requires an estimate of a prediction rule's true error rate, a statistic that can be estimated by resampling data. However, there are many possible approaches depending upon whether we draw observations with or without replacement, or sample once, repeatedly, or not at all, and the pros and cons of each are often unclear. This study illustrates and compares different methods for estimating true error with the aim of providing practical guidance to users of machine learning techniques. Methods: We conducted Monte Carlo simulation studies using four different error estimators: bootstrap, split sample, resubstitution and a direct estimate of true error. Here, 'split sample' refers to a single random partition of the data into a pair of training and test samples, a popular scheme. We used stochas...