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Bayes Error Rate for (Naive) Bayes Classifier

The test error rate of the Bayes classifier on a set of data is known as the Bayes error rate. The Bayes error rate is the minimum possible test error rate for any classifier on that set of data.

Formula for Bayes error rate:

1E(maxjPr(Y=jX))1 - E(max_{j} Pr(Y = j|X))

Derivation: Given an observation with predictor vector xox_o, the Bayes classifier always assigns class jj to the observation where jj is the most likely class of the observation given xox_o. Formally, it picks jj for which Pr(Y=jX=xo)Pr(Y = j | X = x_o) is maximal. It then follows that the error rate for predicting an observation with predictor vector xox_o is simply the probability that the observation belongs to a class other than the most likely given xox_o. Formally, this probability is 1maxjPr(Y=jX=xo)1 - max_jPr(Y = j | X = x_o). Finally, this means that the Bayes classifier has an error rate of 1E(maxjPr(Y=jX))1 - E(max_jPr(Y = j | X )), which is the average of the error rates for every possible of X.

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Updated 2020-11-30

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Data Science