How good is my error in data mining

Question

Hi,

I'm trying to calculate how good are my measurements in machine learning! Let's say that I have five choices, and that error is 4,2, 0.002, 3, 6. Naturally, I will pick third one for the hit, but I would like to say following:

• I'm X% certain that hit is third pick
  I'm Y% certain that hit is first (last) pick
  Of course, X>>Y but I would like to know is there some kind of statistics metric for this.

I can always introduce my metric, but I'm interested is there some already known, so that I can avoid my explanation and just refer to particular metric???
The closest one is 'confidence interval', but that gives me the probability that my results are in some interval.

Thanks!

Answer 1

I think it depends on your machine learning algorithm, and your error measure.

Maybe you should ask on Statistical Analysis - Stack Exchange?