BRcal: An R Package to Boldness-Recalibrate Probability Predictions
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2024
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| _version_ | 1866915396987125760 |
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| author | Guthrie, Adeline P. Franck, Christopher T. |
| author_facet | Guthrie, Adeline P. Franck, Christopher T. |
| contents | When probability predictions are too cautious for decision making, boldness-recalibration enables responsible emboldening while maintaining the probability of calibration required by the user. We formulate boldness-recalibration as a nonlinear optimization of boldness with a nonlinear inequality constraint on calibration. We further show that recalibration based on the maximized linear log odds likelihood also maximizes the posterior probability of calibration. We introduce BRcal, an R package implementing boldness-recalibration and supporting methodology as recently proposed. The BRcal package provides direct control of the calibration-boldness tradeoff and visualizes how different calibration levels change individual predictions. We present a new real world case study involving housing foreclosure predictions. The BRcal package is available on the Comprehensive R Archive Network (CRAN) (https://cran.r-project.org/web/packages/BRcal/index.html) and on Github (https://github.com/apguthrie/BRcal). |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2409_13858 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | BRcal: An R Package to Boldness-Recalibrate Probability Predictions Guthrie, Adeline P. Franck, Christopher T. Methodology When probability predictions are too cautious for decision making, boldness-recalibration enables responsible emboldening while maintaining the probability of calibration required by the user. We formulate boldness-recalibration as a nonlinear optimization of boldness with a nonlinear inequality constraint on calibration. We further show that recalibration based on the maximized linear log odds likelihood also maximizes the posterior probability of calibration. We introduce BRcal, an R package implementing boldness-recalibration and supporting methodology as recently proposed. The BRcal package provides direct control of the calibration-boldness tradeoff and visualizes how different calibration levels change individual predictions. We present a new real world case study involving housing foreclosure predictions. The BRcal package is available on the Comprehensive R Archive Network (CRAN) (https://cran.r-project.org/web/packages/BRcal/index.html) and on Github (https://github.com/apguthrie/BRcal). |
| title | BRcal: An R Package to Boldness-Recalibrate Probability Predictions |
| topic | Methodology |
| url | https://arxiv.org/abs/2409.13858 |