Fig. 1. Predictive uncertainty for the risk of heart disease in two patients.

These distributions of risks over models were generated by randomly bootstrapping 1000 datasets from the Heart Disease UCI dataset¹⁹ and training logistic regression models on each dataset. These distributions are the range of risks from this class of model assigned to these patients when they occurred in the test set, and the mean risk from the full dataset are shown as vertical lines. Despite the fact that both patients have similar mean risks for heart disease, we may be more inclined to trust the predictions for patient 1 given the lower amount of uncertainty associated with that prediction.