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arXiv 2008.03033stat.MEcs.LGstat.ML
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Evaluating probabilistic classifiers: Reliability diagrams and score decompositions revisited

Heidelberg Institute for Theoretical Studies(海德堡理论研究所);University of Hohenheim(霍恩海姆大学);Karlsruhe Institute of Technology (KIT)(卡尔斯鲁厄理工学院)

Timo Dimitriadis, Tilmann Gneiting, Alexander I. Jordan

英文摘要:

A probability forecast or probabilistic classifier is reliable or calibrated if the predicted probabilities are matched by ex post observed frequencies, as examined visually in reliability diagrams. The classical binning and counting approach to plotting reliability diagrams has been hampered by a lack of stability under unavoidable, ad hoc implementation decisions. Here we introduce the CORP approach, which generates provably statistically Consistent, Optimally binned, and Reproducible reliability diagrams in an automated way. CORP is based on non-parametric isotonic regression and implemented via the Pool-adjacent-violators (PAV) algorithm - essentially, the CORP reliability diagram shows the graph of the PAV- (re)calibrated forecast probabilities. The CORP approach allows for uncertainty quantification via either resampling techniques or asymptotic theory, furnishes a new numerical measure of miscalibration, and provides a CORP based Brier score decomposition that generalizes to any proper scoring rule. We anticipate that judicious uses of the PAV algorithm yield improved tools for diagnostics and inference for a very wide range of statistical and machine learning methods.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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