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I need to evaluate the performance of a machine learning application. One of the evaluation metrics chosen is Cohen's Quadratic Kappa. I found this Python tutorial on how to calculate Cohen's Quadratic Kappa. What is missing, however, is how to calculate the confidence interval.

Let's walk through my example (I use a smaller data set for the sake of simplicity). I use NumPy and Scipy Stats for this purpose:

from math import sqrt
import numpy as np
from scipy.stats import norm

This is my confusion matrix:

# x: actuals, y: predictions
confusion_matrix = np.array([
    [9, 5, 2, 0, 0, 0],
    [4, 7, 1, 0, 0, 0],
    [1, 2, 4, 0, 1, 0],
    [0, 1, 1, 5, 1, 0],
    [0, 0, 0, 1, 2, 1],
    [0, 0, 0, 0, 0, 1],
], dtype=np.int)
rows = confusion_matrix.shape[0]
cols = confusion_matrix.shape[1]

I calculate a weight matrix and histograms:

weights = np.zeros((rows, cols))
for r in range(rows):
    for c in range(cols):
        weights[r, c] = float(((r-c)**2)/(rows*cols))
hist_actual = np.sum(confusion_matrix, axis=0)
hist_prediction = np.sum(confusion_matrix, axis=1)

The expected prediction quality by mere chance is calculated as follows:

expected = np.outer(hist_actual, hist_prediction)

This matrix, and the actual confusion matrix, are normalized:

expected_norm = expected / expected.sum()
confusion_matrix_norm = confusion_matrix / confusion_matrix.sum()

Now I calculate the numerator (actual observed agreement) and the denominator (expected agreement by chance):

for r in range(rows):
    for c in range(cols):
        numerator += weights[r, c] * confusion_matrix_norm[r, c]
        denominator += weights[r, c] * expected_norm[r, c]

Cohen's Kappa can now be calculated as:

weighted_kappa = (1 - (numerator/denominator))

Which gives me a result of 0.817.

Now to my question: I need to calculate the standard error, in order to calculate the confidence interval. Here's my approach:

#            p(1-p)
# sek = sqrt -------
#            n(1-e)²
#
# p: numerator (actual observed agreement)
# e: denominator (expected agreement by chance)
# n: total number of predictions
total = hist_actual.sum()
sek = sqrt((numerator * (1 - numerator)) / (total * (1 - denominator) ** 2))

Can I use the total number of predictions, even though I calculate with a normalized numerator and denominator? This would result in a standard error of kappa of 0.023.

The 95% confidence interval then is just straightforward:

alpha = 0.95
margin = (1 - alpha) / 2  # two-tailed test
x = norm.ppf(1 - margin)
lower = weighted_kappa - x * sek
upper = weighted_kappa + x * sek

Which gives an interval of [0.772;0.861].

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Since I don't know anything about Cohen's Quadratic Kappa beyond what you have written, I would fall back to the bootstrap method.

To bootstrap sample the CQK score, resample with replacement from your set of predicted ratings. Run these resampled predictions through the CQK score calculation, and you will get a new CQK score. Compute new CQK scores in this way a number of times, at least 100. The standard deviation of this bootstrapped CQK sample is the standard error of the mean CQK score.

Using this approach, I get a standard error around 0.057, from which you know how to find the confidence interval. Another approach is to directly calculate 2.5 and 97.5 percentiles (np.percentile) of the bootstrapped CQK scores as your confidence interval.

def extract_data_from_confusion_matrix(confusion_matrix):
    y_true = []
    y_pred = []
    for i, row in enumerate(confusion_matrix):
        for j, qty in enumerate(row):
            y_true.extend([i]*qty)
            y_pred.extend([j]*qty)

    return y_true, y_pred


def bootstrap_cqk(y_true, y_pred):
    num_resamples = 100

    Y = np.array([y_true, y_pred]).T

    weighted_kappas = []
    for i in range(num_resamples):
        Y_resample = np.array(random.choices(Y, k=len(Y)))
        y_true_resample = Y_resample[:, 0]
        y_pred_resample = Y_resample[:, 1]
        weighted_kappa = cqk_score(y_true_resample, y_pred_resample)
        weighted_kappas.append(weighted_kappa)

    return weighted_kappas


def calculate_standard_error():

    confusion_matrix = np.array([
        [9, 5, 2, 0, 0, 0],
        [4, 7, 1, 0, 0, 0],
        [1, 2, 4, 0, 1, 0],
        [0, 1, 1, 5, 1, 0],
        [0, 0, 0, 1, 2, 1],
        [0, 0, 0, 0, 0, 1],
    ], dtype=np.int)

    y_true, y_pred = extract_data_from_confusion_matrix(confusion_matrix)
    weighted_kappas = bootstrap_cqk(y_true, y_pred)
    return np.std(weighted_kappas)

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