Uncertainty estimation with a finite dataset in the assessment of classification models

To successfully translate genomic classifiers to the clinical practice, it is essential to obtain reliable and reproducible measurement of the classifier performance. A point estimate of the classifier performance has to be accompanied with a measure of its uncertainty. In general, this uncertainty arises from both the finite size of the training set and the finite size of the testing set. The training variability is a measure of classifier stability and is particularly important when the training sample size is small. Methods have been developed for estimating such variability for the performance metric AUC (area under the ROC curve) under two paradigms: a smoothed cross-validation paradigm and an independent validation paradigm. The methodology is demonstrated on three clinical microarray datasets in the microarray quality control consortium phase two project (MAQC-II): breast cancer, multiple myeloma, and neuroblastoma. The results show that the classifier performance is associated with large variability and the estimated performance may change dramatically on different datasets. Moreover, the training variability is found to be of the same order as the testing variability for the datasets and models considered. In conclusion, the feasibility of quantifying both training and testing variability of classifier performance is demonstrated on finite real-world datasets. The large variability of the performance estimates shows that patient sample size is still the bottleneck of the microarray problem and the training variability is not negligible. © 2011 Elsevier B.V. All rights reserved.