How does one calculate confidence intervals of cross-validated estimates?
For an epidemiological paper we use cat. and cont. NRI, IDI, and difference in C index for comparison of two Cox models. The reviewer suggested showing only cross-validated estimates and their 95% confidence intervals.
My ideas include taking the appropriate quantiles of the CV resamples, calculating the SE of those resamples and constructing Wald intervals, or bootstrapping the CI of the resamples' mean or median. But somehow these all seem phony.