Confident Neural Network Regression with Bootstrapped Deep Ensembles

With the rise of the popularity and usage of neural networks, trustworthy uncertainty estimation is becoming increasingly essential. In this paper we present a computationally cheap extension of Deep Ensembles for a regression setting called Bootstrapped Deep Ensembles that explicitly takes the effect of finite data into account using a modified version of the parametric bootstrap. We demonstrate through a simulation study that our method has comparable or better prediction intervals and superior confidence intervals compared to Deep Ensembles and other state-of-the-art methods. As an added bonus, our method is better capable of detecting overfitting than standard Deep Ensembles.