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Scores returned by predict_proba method after applying undersampling or cost-sensitive learning are biased - they don't equal probabilities and need calibration.
However, there is a simple transformation to calibrate such scores, obtained from Bayes' rule, as described in the following article: https://ieeexplore.ieee.org/abstract/document/7376606 (over 700 citations). It would be great to implement this method.
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