  Ongoing developments in neural network models are continually advancing the
state of the art in terms of system accuracy. However, the predicted labels
should not be regarded as the only core output; also important is a
well-calibrated estimate of the prediction uncertainty. Such estimates and
their calibration are critical in many practical applications. Despite their
obvious aforementioned advantage in relation to accuracy, contemporary neural
networks can, generally, be regarded as poorly calibrated and as such do not
produce reliable output probability estimates. Further, while post-processing
calibration solutions can be found in the relevant literature, these tend to be
for systems performing classification. In this regard, we herein present two
novel methods for acquiring calibrated predictions intervals for neural network
regressors: empirical calibration and temperature scaling. In experiments using
different regression tasks from the audio and computer vision domains, we find
that both our proposed methods are indeed capable of producing calibrated
prediction intervals for neural network regressors with any desired confidence
level, a finding that is consistent across all datasets and neural network
architectures we experimented with. In addition, we derive an additional
practical recommendation for producing more accurate calibrated prediction
intervals. We release the source code implementing our proposed methods for
computing calibrated predicted intervals. The code for computing calibrated
predicted intervals is publicly available.
