Temporal Probability Calibration

Abstract: In many applications, accurate class probability estimates are required, but many types of models produce poor quality probability estimates despite achieving acceptable classification accuracy. Even though probability calibration has been a hot topic of research in recent times, the majority of this has investigated non-sequential data. In this paper, we consider calibrating models that produce class probability estimates from sequences of data, focusing on the case where predictions are obtained from incomplete sequences. We show that traditional calibration techniques are not sufficiently expressive for this task, and propose methods that adapt calibration schemes depending on the length of an input sequence. Experimental evaluation shows that the proposed methods are often substantially more effective at calibrating probability estimates from modern sequential architectures for incomplete sequences across a range of application domains.