statistical significance at the 95% confidence level

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I have two learning algorithm LA1 and LA2. I ran these two learning algorithms on 5 datasets and got 10 numbers (5 for LA1 and 5 for LA2), each shows the average error rate on 10-fold cross-validation.
Someone asked me that I should do the statistical significance for the 95% confidence level. I do not know what it is. Could you please let me know if there is a good text\source to read about it. Also, I would like to know how should I do this test using Matlab.
Can one explain it to me with one example? Let say, for example, the average error of 10fold cross-validation on the 5-datasets using LA1 are: [4.3; 5.6; 30.7; 8.4; 6.4] and for LA2 are: [4.9; 5.8; 30; 8; 7.4]

Accepted Answer

Ilya on 15 Aug 2016
The reference is
T. Dietterich. Approximate statistical tests for comparing supervised classification learning algorithms. Neural Computation, 10(7):1895–1923, 1998.
The implementation can be found in the testckfold function in the Statistics and Machine Learning Toolbox.
Ilya on 16 Aug 2016
The paper would answer that question for you. The paper is pretty simple. And it takes maybe 10 seconds of your time to google the title and download it.

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