Nonparametric Uncertainty Quantification for Single Deterministic Neural Network

This paper proposes a fast and scalable method for uncertainty quantification of machine learning models' predictions. First, we show the principled way to measure the uncertainty of predictions for a classifier based on Nadaraya-Watson's nonparametric estimate of the conditional label distribution. Importantly, the approach allows to disentangle explicitly \textit{aleatoric} and \textit{epistemic} uncertainties. The resulting method works directly in the feature space. However, one can apply it to any neural network by considering an embedding of the data induced by the network.