CalibrationErrors.jl

Estimation of calibration errors.

Overview

This package implements different estimators of the expected calibration error (ECE), the squared kernel calibration error calibration error (SKCE), and the unnormalized calibration mean embedding (UCME) in the Julia language.

Example

Calibration errors can be estimated from a data set of predicted probabilities and and a set of targets by executing

calibrationerror(estimator, predictions, targets)

The predictions can be provided as a vector of n vectors of predicted probabilities of length m or as a matrix of size (m, n), in which each of the n columns corresponds to predicted probabilities of the targets 1,…,m. The corresponding targets have to be provided as a vector of length n, in which every element is from the set 1,…,m.

Alternatively, it is possible to specify a tuple of predictions and targets or a vector of tuples of predictions and targets.

This package implements the estimator ECE of the ECE, the estimators BiasedSKCE, UnbiasedSKCE, and BlockUnbiasedSKCE for the SKCE, and SUMCE for the SUMCE.