How to build a confidence interval in XGBoost?

Hi All,

Can anyone offer me advice on how to build a confidence interval for the results of an xgboost (binary) model?

I’ve researched this question on the web, but the answers require R skills beyond my level. Is there anything built into Exploratory (awesome software btw!) that would let me calculate CIs natively?


Unlike logistic regression or linear regression, confidence interval is not calculated as a by-product of prediction in tree based algorithms like XGBoost or RandomForest.

One way to indirectly estimate confidence interval I found is by experiment, by changing random seed and repeatedly predicting, though it would still require writing some R…