Teemu Roos, Peter Grünwald, Petri Myllymäki, Henry Tirri
We analyze classification error on unseen cases, i.e. cases that are different from those in the training set. Unlike standard generalization error, this off-training-set error may differ significantly from the empirical error with high probability even with large sample sizes. We derive a datadependent bound on the difference between off-training-set and standard generalization error. Our result is based on a new bound on the missing mass, which for small samples is stronger than existing bounds based on Good-Turing estimators. As we demonstrate on UCI data-sets, our bound gives nontrivial generalization guarantees in many practical cases. In light of these results, we show that certain claims made in the No Free Lunch literature are overly pessimistic.