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Evaluate Probability Calibration Quality

Hard
Model EvaluationCalibrationAUC-ROCThreshold TuningAsked 1 times

Problem

Scenario

You have a classification model that outputs probabilities, and stakeholders want to use those scores for decision-making rather than just ranking. You need to judge whether the predicted probabilities can be trusted as stated, for example whether cases scored at 0.8 really occur about 80% of the time.

Question

How would you determine whether a model is well calibrated?

What This Tests

  • Calibration versus discrimination
  • Reliability plots and bin-wise observed rates
  • Log loss and probability quality
  • Confidence intervals on calibration estimates
  • Threshold implications after recalibration
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