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arXiv · 2206.15272

Confidence curves for UQ validation: probabilistic reference vs. oracle

Pascal Pernot
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Abstract

Confidence curves are used in uncertainty validation to assess how large uncertainties ($u_{E}$) are associated with large errors ($E$). An oracle curve is commonly used as reference to estimate the quality of the tested datasets. The oracle is a perfect, deterministic, error predictor, such as $|E|=\pm u_{E}$, which corresponds to a very unlikely error distribution in a probabilistic framework and is unable unable to inform us on the calibration of $u_{E}$. I propose here to replace the oracle by a probabilistic reference curve, deriving from the more realistic scenario where errors should be random draws from a distribution with standard deviation $u_{E}$. The probabilistic curve and its confidence interval enable a direct test of the quality of a confidence curve. Paired with the probabilistic reference, a confidence curve can be used to check the calibration and tightness of prediction uncertainties.

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Pascal Pernot. 2022-06-30. Confidence curves for UQ validation: probabilistic reference vs. oracle. https://arxiv.org/abs/2206.15272

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