I would like to calculate confidence intervals for predicted probabilities of a class membership obtained with randomForest.

I know I could use predict.all in randomForest(), which gives me the predictions of all the trees and hence a way of calculating the variance of the average prediction. However, from reading the following paper by Wager, Hastie and Effron, the variance obtained this way is biased upwards, https://arxiv.org/pdf/1311.4555.pdf

This paper presents a bias-corrected estimator of variance and states on page 8 that it has been implemented in randomForest.

I have checked the documentation but can't find any reference to it. https://www.rdocumentation.org/packages/randomForest/versions/4.6-14

Can anyone shed light on this?


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