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I'm dealing with the following problem:

I have a multiclass variable, y, with let's say 7 classes. The 7 classes are not evenly distributed, some are way more likely to occur than others. Let's say class A occurs in 40% of the cases, and the other classes all occur in 10% of the cases.

I'm trying to predict these classes with the variables in the matrix X. Given that it's rather hard to predict y with the given variables in X (accuracy of about 50%), some out-of-sample distributions tend to be quite close to the prior distribution (40%, 10%, etc.). Hence class A has a larger distribution by default.

When I move to predictions based on the largest probability, class A is chosen more often than expected (+/- 70%) and the other classes sometimes hardly occur, because by default the probabilities are smaller.

What can I do to improve my model? I was thinking about:

  1. Weight the probabilities, based on the frequency of the classes
  2. Choose my predictions in a different manner
  3. Train my model on a different set, such that all classes occur with the same frequency.

Example: if for observation k the probability for class B is 39%, and for class A 40%, I would prefer to assign this observation to class B, even though the probability for class A is somewhat larger.

Any advice, inspiration or "best practice" is more than welcome!

I'm using models like xgBoost/random forest, with multiclass probabilities. Output looks like:

A, B, C, D, E, F, G
0.4, 0.1, 0.1, 0.1, 0.1, 0.1, 0.1
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First check that the method is providing accurate absolute probabilities, using out-of-sample calculations or bootstrap bias-corrected estimates. This involves estimating a smooth calibration curve using e.g. the loess nonparametric smoother. Hovering about the line of identity indicates good calibration, and there are formal tests you can make (e.g., Spiegelhalter's as in the R Hmisc package val.prob function).

Once you have accurate probabilities, the majority of problems would see them as the final estimates with no need to translate them to categories (e.g., modal or most likely category as you have done). If you really wanted a "class prediction" you could draw from the multinomial distribution using the estimated probabilities of class memberships. Or you could devise a rule, depending on your utility/loss function where the modal category is used if its probability exceeds $\theta$ and a formal "no decision" is made otherwise. To always choose the modal category even if its probability is 0.18 may be misleading.

You didn't state your sample size. For multinomial/polytomous problems such as yours very large samples are required.

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  • $\begingroup$ Thanks for your answer Frank. I'm going to look at the methods you mentioned. $\endgroup$ – Dendrobates Jun 9 '16 at 11:45

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