Estimation of Classification Error

This paper discusses methods of estimating the probability of error for the Bayes´ classifier which must be designed and tested with a finite number of classified samples. The expected difference between estimates is discussed. A simplifled algorithm to compute the leaving-one-out method is proposed for multivariate normal distributions wtih unequal co-variance matrices. The discussion is extended to nonparametric classifiers by using the Parzen approximation for the density functions. Experimental results are shown for both parametric and nonparametric cases.