mean/std technique For xgboost/random forest type models

  • per this article , the proposed idea is to use the preditions of all the trees as the prediction space or a kind of an uncertainty interval.
  • I wonder if we can say predictions that a model is more certain about have a tighter distribution of predictions. And conversely that a model is unsure about its predictions if the distribution of predictions is wide.
  • I have a feeling that the LSS approach to XGBoost here tries to automate something like that.

References hmm