### Testing whether a learning procedure is calibrated in JMLR

The article “Testing whether a learning procedure is calibrated” by Jon Cockayne, Matthew Graham, Chris Oates, Onur Teymur, and myself has just appeared in its final form in the *Journal of Machine Learning Research*.
This article is part of our research on the theoretical foundations of probabilistic numerics and uncertainty quantification, as we seek to explore what it means for the uncertainty associated to a computational result to be “well calibrated”.

J. Cockayne, M. M. Graham, C. J. Oates, T. J. Sullivan, and O. Teymur. “Testing whether a learning procedure is calibrated.” *Journal of Machine Learning Research* 23(203):1–36, 2022.

**Abstract.**
A learning procedure takes as input a dataset and performs inference for the parameters \(\theta\) of a model that is assumed to have given rise to the dataset.
Here we consider learning procedures whose output is a probability distribution, representing uncertainty about \(\theta\) after seeing the dataset.
Bayesian inference is a prime example of such a procedure, but one can also construct other learning procedures that return distributional output.
This paper studies conditions for a learning procedure to be considered calibrated, in the sense that the true data-generating parameters are plausible as samples from its distributional output.
A learning procedure whose inferences and predictions are systematically over- or under-confident will fail to be calibrated.
On the other hand, a learning procedure that is calibrated need not be statistically efficient.
A hypothesis-testing framework is developed in order to assess, using simulation, whether a learning procedure is calibrated.
Several vignettes are presented to illustrate different aspects of the framework.

Published on Friday 5 August 2022 at 14:50 UTC #publication #prob-num #cockayne #graham #oates #teymur