Out-of-Bag Error: The Free Exam You Didn't Know You Were Already Taking

The One-Line Summary: Because each tree in a Random Forest trains on a bootstrap sample, exactly ( 1 − 1/ n ) n → 1/ e ≈ 36.8% of rows are invisible to any given tree, so you can score every row using only the trees that never saw it — a validation estimate that costs one fit instead of five, on an exam nobody had to set a single question aside for. The Parable of the School That Never Set an Exam The village of Predicta, having fixed its jury by blindfolding every judge, turned to its school —…