In the book "How to Measure Anything" D. Hubbard presents a step-by-step method for calibrating your confidence intervals, which he has tested on hundreds of people, showing that it can make 90% of people almost perfect estimators within half a day of training.
I've been told that the Less Wrong and CFAR community is mostly not aware of this work, so given the importance of making good estimates to rationality, I thought it would be of interest.
(although note CFAR has developed its own games for training confidence interval calibration)
The main techniques to employ are:
For each estimate imagine that you are betting $1000 on the answer being within your 90% CI. Now compare this to betting $1000 on a spinner where 90% of the time you win and 10% of the time you lose. Would you prefer to take a spin? If so, your range is too small and you need to increase it. If you decide to answer the question your range is too large and you need to reduce it. If you don’t mind whether you answer the question or take a spin then it really is your 90% CI.
Start with an absurdly large range, maybe from minus infinity to plus infinity, and then begin reducing it based upon things you know to be highly unlikely or even impossible.
Anchoring occurs when you think of a single answer to the question and then add an error around this answer; this often leads to ranges which are too narrow. Using the absurdity test is a good way to counter problems brought on by anchoring; another is to change how you look at your 90% CI. For a 90% CI there is a 10% chance that the answer lies outside your estimate, and if you split this there is a 5% chance that the answer is above your upper bound and a 5% chance that the answer is below your lower bound. By treating each bound separately, rephrase the question to read ‘is there a 95% chance that the answer is above my lower bound?’. If the answer is no, then you need to increase or decrease the bound as required. You can then repeat this process for the other bound.
Pros and cons:
Identify two pros and two cons for the range that you have given to help clarify your reasons for making this estimate.
Once you have used these techniques you can make another equivalent bet to check whether your new estimate is your 90% CI.
To train yourself, practice making estimates repeatedly while using these techniques, until you reach 100% accuracy.
To read more and try sample questions, read the article we prepared on 80,000 Hours here.