"Caledonia is the Latin name given by the Romans to the land in today's Scotland north of their province of Britannia, beyond the frontier of their empire. The etymology of the name is probably from a P-Celtic source. Its modern usage is as a romantic or poetic name for Scotland as a whole, comparable with Hibernia for Ireland and Cambria for Wales." Source: Wikipedia.
According to the Oxford Classical Dictionary (3rd ed. revised) "Caledonia [was] the name used by Tacitus and Cassius Dio for the Scottish highlands beyond the river Forth. Others use the adjective, sometimes of inland Britain, mostly of north Britain, referring to its seas, its north cape and monuments with Greek letters, its frosts, fauna, pearls and people. Its wooded hills were early famous but vaguely located until Ptolemy placed them southwest of Beauly Firth."
Related: The Romans In Scotland