QUEST measures uncertainty via the Lebesgue volume of highest-density regions of a distribution's support, evaluated at robustness parameter alpha, and claims to satisfy UQ axioms while outperforming variance and differential entropy on selective prediction tasks.
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On the QUEST for Uncertainty Quantification via Highest Density Regions
QUEST measures uncertainty via the Lebesgue volume of highest-density regions of a distribution's support, evaluated at robustness parameter alpha, and claims to satisfy UQ axioms while outperforming variance and differential entropy on selective prediction tasks.