Exam MAS-II Practice Question 9

Study guide: Exam MAS-II

An actuary fits a bagged regression tree model with $B = 600$ trees to 4,000 claims and reports its out-of-bag (OOB) error.

Determine which of the following statements are true.

I. Each claim is out of bag for roughly one-third of the trees, so its OOB prediction averages the predictions of about 200 trees.
II. With $B$ sufficiently large, the OOB error is virtually equivalent to the leave-one-out cross-validation error.
III. The OOB error estimate requires a separate validation set, held out before bagging, on which to score the OOB predictions.
A) I only
B) I and II only
C) I and III only
D) II and III only
E) The answer is not given by (A), (B), (C), or (D)

Concepts tested