Recent advances in deep learning models for sequence classification have greatly improved their classification accuracy, specially when large training sets are available. However, several works have suggested that under some settings the predictions made by these models are poorly calibrated. In this work we study binary sequence classification problems and we look at model calibration from a different perspective by asking the question: Are deep learning models capable of learning the underlying target class distribution? We focus on sparse sequence classification, that is problems in which the target class is rare and compare three deep learning sequence classification models. We develop an evaluation that measures how well a classifier is learning the target class distribution. In addition, our evaluation disentangles good performance achieved by mere compression of the training sequences versus performance achieved by proper model generalization. Our results suggest that in this binary setting the deep-learning models are indeed able to learn the underlying class distribution in a non-trivial manner, i.e. by proper generalization beyond data compression.