precision-recall-intervals

A Python script to compute precision/recall confidence intervals for a binary classifier.

The methodology is based on Section 3.5 of the paper 'Approximate Recall Confidence Intervals' by W. Weber (2012). The main idea is to assign the negative predictive value and the positive predictive value (i.e., precision) Jeffreys priors, and then evaluate the posteriors by counting the number of false negatives in a sample from the total population of presumed negatives, and the number of false positives in a sample from the total population of presumed positives, respectively.

The inputs to the script are the following:

• total number of candidate negatives;
• total number of sampled candidate negatives;
• number of false negatives;
• number of candidate positives;
• number of sampled candidate positives;
• number of false positives;
• confidence level in (0, 1).

The script returns a precision interval [p1, p2] and a recall interval [r1, r2] at the specified confidence level.

Example

Consider a population of 41643552 features. Our hypothetical classifier classifies 39615617 features as 0 (negative) and 2027935 features as 1 (positive). We sample 7853 features from class 0 and identify 131 of those as false negatives, and 596 features from class 1 and identify 55 of those as false positives. The 0.95 confidence intervals for precision and recall are obtained as follows:

python compute.py 39615617 7853 131 2027935 596 55 0.95
Precision 0.95 confidence interval: [0.882505817635, 0.928983677706]
Recall 0.95 confidence interval: [0.701872052529, 0.768669678102]

Install

Just clone this repository:

git clone https://github.com/PlatformStories/precision-recall-intervals

The only dependencies are numpy and scipy.