I have fit a logistic regression model with four features and now I am able to use it for prediction.
When I plot the data points from my learning sample (i.e. I select two features, plot them in two axis), I see that there is more density of points in an area than in other areas. What I would like my model to return is not only the probabilities, but also a number that tells me how good these probabilities are (e.g. a p-value). I imagine that depending on the region the prediction is made, and the density of the sample points in that concrete region, the better the prediction, and conversely.
Is there a way of obtaining a value that tells me how good my prediction is?
In concrete, I am using python scikit logistic regression package, although the answer can be more broad.