A Safe Hosmer-Lemeshow Test

Abstract

This article proposes an alternative to the Hosmer-Lemeshow (HL) test for evaluating the calibration of probability forecasts for binary events. The approach is based on e-values, a new tool for hypothesis testing. An e-value is a random variable with expected value less or equal to one under a null hypothesis. Large e-values give evidence against the null hypothesis, and the multiplicative inverse of an e-value is a p-value. Our test uses online isotonic regression to estimate the calibration curve as a ‘betting strategy’ against the null hypothesis. We show that the test has power against essentially all alternatives, which makes it theoretically superior to the HL test and at the same time resolves the well-known instability problem of the latter. A simulation study shows that a feasible version of the proposed eHL test can detect slight miscalibrations in practically relevant sample sizes, but trades its universal validity and power guarantees against a reduced empirical power compared to the HL test in a classical simulation setup. We illustrate our test on recalibrated predictions for credit card defaults during the Taiwan credit card crisis, where the classical HL test delivers equivocal results.