Calibrated probabilistic classifiers are models whose predicted probabilities can directly be interpreted as uncertainty estimates. It has been shown recently that deep neural networks are poorly calibrated and tend to output overconfident predictions. As a remedy, we propose a low-bias, trainable calibration error estimator based on Dirichlet kernel density estimates, which asymptotically converges to the true L_p calibration error. This novel estimator enables us to achieve the strongest notion of multiclass calibration, called canonical calibration, while other common calibration methods are tractable only for top-label and marginal calibration. The computational complexity of our estimator is 𝒪(n^2), while the convergence rate is 𝒪(n^-1/2), and it is unbiased up to 𝒪(n^-2) achieved by a geometric series debiasing scheme. In practice, this means that the estimator can be applied to small subsets of the data, enabling efficient estimation and mini-batch updates. The proposed method has a natural choice of kernel, and can be used to generate consistent estimates of other quantities based on conditional expectation, such as the sharpness of a probabilistic classifier. Empirical results validate the correctness of our estimator, and demonstrate its utility in canonical calibration error estimation and calibration error regularized risk minimization.