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A confidence interval is an interval that covers an unknown parameter with $100(1-\alpha)\%$ confidence. Confidence intervals are a frequentist concept. They are often confused with credible intervals which is the Bayesian analog.

18 votes

Do the predictions of a Random Forest model have a prediction interval?

I realize this is an old post but I have been running some simulations on this and thought I will share my findings. @GregSnow made a very detailed post about this but I believe when calculating the …
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