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Calibrating for Class Weights by Modeling Machine Learning

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  • Andrew Caplin
  • Daniel Martin
  • Philip Marx

Abstract

A much studied issue is the extent to which the confidence scores provided by machine learning algorithms are calibrated to ground truth probabilities. Our starting point is that calibration is seemingly incompatible with class weighting, a technique often employed when one class is less common (class imbalance) or with the hope of achieving some external objective (cost-sensitive learning). We provide a model-based explanation for this incompatibility and use our anthropomorphic model to generate a simple method of recovering likelihoods from an algorithm that is miscalibrated due to class weighting. We validate this approach in the binary pneumonia detection task of Rajpurkar, Irvin, Zhu, et al. (2017).

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  • Andrew Caplin & Daniel Martin & Philip Marx, 2022. "Calibrating for Class Weights by Modeling Machine Learning," Papers 2205.04613, arXiv.org, revised Jul 2022.
    • Handle: RePEc:arx:papers:2205.04613
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    References listed on IDEAS

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    1. Andrew Caplin & Daniel Martin, 2015. "A Testable Theory of Imperfect Perception," Economic Journal, Royal Economic Society, vol. 125(582), pages 184-202, February.
    2. Emir Shuford & Arthur Albert & H. Edward Massengill, 1966. "Admissible probability measurement procedures," Psychometrika, Springer;The Psychometric Society, vol. 31(2), pages 125-145, June.
    3. repec:hal:pseose:halshs-01155313 is not listed on IDEAS
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    Cited by:

    1. Ke, Shaowei & Zhao, Chen, 2024. "From local utility to neural networks," Journal of Mathematical Economics, Elsevier, vol. 113(C).
    2. Naudé, Wim, 2023. "Artificial Intelligence and the Economics of Decision-Making," IZA Discussion Papers 16000, Institute of Labor Economics (IZA).

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