A key factor in deciding whether to trust an automatic prediction is its confidence score, which should be calibrated to match the actual probability of the prediction being correct. Most confidence calibration metrics target binary or multi-class tasks, while multi-label calibration remains largely underexplored. Multi-label classification tasks, such as assigning medical codes to clinical notes or determining news topics, are usually dominated by a large number of negatives, i.e., labels that do not apply. We show that existing binning schemes to compute label-wise expected calibration error either underestimate the error, simply reflect label frequency, or suffer from many bins with very few instances. To achieve trustworthy label-wise calibration errors, we propose a new binning scheme that gives equal weight to positive and negative label assignments. Our empirical study demonstrates that in contrast to existing binning schemes, our new scheme results in meaningful estimates of calibration error in hierarchical and in extreme multi-label classification. We also show that calibrating confidence scores of large language models for multi-label predictions is an open challenge. Our detailed analysis lays the foundation for further research by providing a solid evaluation metric for measuring calibration in multi-label classification.

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