Estimate calibration given forecasts and corresponding outcomes

Usage

compute_calibration(
  forecast,
  outcome,
  method = c("smoothing", "binning"),
  CI = NULL,
  binwidth = NULL,
  ...
)

Arguments

forecast: Vector of probability forecasts.
outcome: Vector of observations (0 or 1).
method: Method used to estimate calibration, either "smoothing" or "binning".
CI: Confidence level (e.g. 0.95). CI not computed if NULL (CI can be expensive to compute for LOWESS).
binwidth: Binwidth when calibration is estimated by binning. If NULL, automatic bin width selection with Sturges' method.
...: Arguments of stats::loess() function (e.g. span).

Value

Dataframe with columns Forecast (bins), Frequency (frequency of outcomes in the bin), Lower (lower bound of the CI) and Upper (upper bound of the CI).

Examples

N <- 1e4
f <- rbeta(N, 1, 1)
o <- sapply(f, function(x) {
  rbinom(1, 1, x)
})
lapply(
  c("binning", "smoothing"),
  function(m) {
    cal <- compute_calibration(f, o, method = m)
    with(cal, plot(Forecast, Frequency, type = "l"))
    abline(c(0, 1), col = "red")
  }
)


#> [[1]]
#> NULL
#> 
#> [[2]]
#> NULL
#>