Calibration without labels in multiple testing

Large-scale hypothesis testing supports probability claims about individual hypotheses, as in empirical Bayes methods for estimating local false discovery rates. We study how such claims can be interpreted as approximately calibrated forecasts of the null hypothesis, yielding interpretable error probabilities even under model misspecification. Our approach draws conceptual inspiration from probabilistic forecasting but addresses a different challenge: unlike forecasting, where labels are eventually observed, in multiple testing the ground truth is never revealed, so calibration must be assessed stochastically and established indirectly. We address this challenge by constructing a set of pseudo-labels, derived from the spacings of ordered $p$-values, which have the local false discovery rate as their regression target. Our construction unlocks existing tools for assessing and performing post-hoc calibration in multiple testing. Notably, we show that $q$-values, a popular error measure based on the false discovery rate, can be severely miscalibrated.