On the underestimation of model uncertainty by Bayesian K-nearest neighbors

Su, Wanhua; Chipman, Hugh; Zhu, Mu

On the underestimation of model uncertainty by Bayesian K-nearest neighbors

Authors

Su, Wanhua

Chipman, Hugh

Zhu, Mu

Description

When using the K-nearest neighbors method, one often ignores uncertainty in the choice of K. To account for such uncertainty, Holmes and Adams (2002) proposed a Bayesian framework for K-nearest neighbors (KNN). Their Bayesian KNN (BKNN) approach uses a pseudo-likelihood function, and standard Markov chain Monte Carlo (MCMC) techniques to draw posterior samples. Holmes and Adams (2002) focused on the performance of BKNN in terms of misclassification error but did not assess its ability to quantify uncertainty. We present some evidence to show that BKNN still significantly underestimates model uncertainty.