Probability Estimation: An Introduction

In my recent research I have been looking at relationships between various types of learning problems. One surprisingly rich class of problems is that of probability estimation. In this series of posts I will highlight some of the interesting theory I’ve uncovered about them in the machine learning, statistics and economics literature.

Binary Classification

The quintessential type of learning problem in machine learning is binary classification. Given a training sample of instances, each labelled “positive” or “negative”, the aim is to learn to predict the correct label from previously unseen instances. A well known example of a binary classification problem is predicting whether an email is spam or not spam.

A binary classification problem can be stated as an optimisation: find function that minimises the average number of misclassifications on new instances drawn from the distribution that generated the training sample. Put another way, if we have to pay a penalty of $1 each time we predict a positive instance as negative or vice versa then we want to find a predictor that minimises our expected loss.1

Formally, we will say an instance \(x\) is positive if it has associated label \(y = 1\) and negative if its label \(y = 0\). We then define the 0–1 misclassification loss for a binary prediction \(p\) when the label is \(y\) to be \[ \ell_{01}(y,p) = \begin{cases} 1, & y \ne p \\ 0, & \text{otherwise}. \end{cases} \]

Now suppose that an instance \(x\) has a positive label with probability \(\eta\) and we have made a prediction \(p\). For that \(x\) the point-wise risk is \[ L_{01}(\eta,p) = \eta\,\ell_{01}(1,p) + (1-\eta)\,\ell_{01}(0,p). \]

The first term is the average loss of a prediction \(p\) in the case of a positive example, occurring with probability \(\eta\), and the second term is the average loss for a negative example, occurring with probability \(1-\eta\).

Returning to the spam example, suppose that with probability 0.95 a randomly chosen recipient says a particular email is spam. A prediction of “spam” for that email will incur an average loss of \(0.95\times 0 + 0.05\times 1 = 0.05\) whereas a prediction of “not spam” incurs a loss of 0.95.

Probability Estimation

Now suppose that instead of merely predicting the correct label we wanted to know the probability that an email was considered spam. In this case we would have a different but related type of learning problem: binary class probability estimation.

As predictions here are probabilities instead of concrete predictions, there is no sensible notion of a misclassification. How can a prediction that an email is spam with probability 0.9 be wrong? If it really isn’t spam it may just be one of the 10% of cases that are consistent with the probability estimate.

What we really want is a penalty with an expected value that is minimised if our probability estimates are consistent with the true probability of a positive label for a given instance. This fairly natural requirement on the loss for a probability estimation problem is known as Fisher consistency.

If \(\ell(y,p)\) is a loss for probability estimation then the above requirement can be framed in terms of its associated point-wise risk: \(L(\eta,p) = \eta\,\ell(1,p) + (1-\eta)\,\ell(0,p)\). Stated formally, Fisher consistency says that no matter what true probability \(\eta\) we have \[ \min_{p\in[0,1]} L(\eta,p) = L(\eta,\eta). \]

That is, predicting \(p = \eta\) always achieves the smallest possible point-wise risk.

We will call losses that have this Fisher consistency property proper losses in line with the terminology of proper scoring rules used when probability elicitation is studied in economics.2 We will see several interesting connections between these two concepts in future posts.


One common loss functions used for probability estimation is square loss \[ \ell_{\text{sq}}(y,p) = y(1-p)^2 + (1-y) p^2. \]

The easiest way to convince yourself this is Fisher consistent is to examine when the derivatives of its point-wise risk with respect to \(p\) vanishes. In the case of square loss we see that \[ \frac{\partial}{\partial p} L_{\text{sq}}(\eta,p) = -2\eta(1-p) + 2(1-\eta)p = 2(p-\eta) \]

which is 0 only when \(p=\eta\) and so \(\ell_{\text{sq}}\) is proper.

While Fisher consistency seems like a fairly innocuous and natural constraint for probability estimation it has some impressive implications that I will explore in some future posts.

  1. Of course, in the case of spam the penalty is not as symmetric as described here. Incorrectly predicting spam as “not spam” is mildly annoying whereas predicting that an important email that your career depends upon as “spam” and sending it to the Trash folder is potentially disastrous!

  2. Scoring rules are usually framed in terms of rewards rather than penalties so loss and scoring rules are additive inverse and minimisation here becomes maximisation there.

Mark Reid March 1, 2009 Canberra, Australia
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