Estimating Classification Uncertainty of Bayesian Decision Tree
  Technique on Financial Data
  Bayesian averaging over classification models allows the uncertainty of
classification outcomes to be evaluated, which is of crucial importance for
making reliable decisions in applications such as financial in which risks have
to be estimated. The uncertainty of classification is determined by a trade-off
between the amount of data available for training, the diversity of a
classifier ensemble and the required performance. The interpretability of
classification models can also give useful information for experts responsible
for making reliable classifications. For this reason Decision Trees (DTs) seem
to be attractive classification models. The required diversity of the DT
ensemble can be achieved by using the Bayesian model averaging all possible
DTs. In practice, the Bayesian approach can be implemented on the base of a
Markov Chain Monte Carlo (MCMC) technique of random sampling from the posterior
distribution. For sampling large DTs, the MCMC method is extended by Reversible
Jump technique which allows inducing DTs under given priors. For the case when
the prior information on the DT size is unavailable, the sweeping technique
defining the prior implicitly reveals a better performance. Within this Chapter
we explore the classification uncertainty of the Bayesian MCMC techniques on
some datasets from the StatLog Repository and real financial data. The
classification uncertainty is compared within an Uncertainty Envelope technique
dealing with the class posterior distribution and a given confidence
probability. This technique provides realistic estimates of the classification
uncertainty which can be easily interpreted in statistical terms with the aim
of risk evaluation.
