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Performance of credit risk prediction models via proper loss functions
Figiani, Silvia Figini; Maggi, Mario - Dipartimento di Scienze Economiche e Aziendali, … - 2014
recently been proposed that can be seen as refinements of discrimination measures, including variants of the AUC (Area Under … the ROC curve), such as the H index. It is widely recognized that AUC suffers from lack of coherency especially when ROC …
Persistent link: https://www.econbiz.de/10010842822
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A boosting method for maximization of the area under the ROC curve
Komori, Osamu - In: Annals of the Institute of Statistical Mathematics 63 (2011) 5, pp. 961-979
Persistent link: https://www.econbiz.de/10009325767
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Improved customer choice predictions using ensemble methods
van Wezel, van Wezel, M.C.; Potharst, Potharst, R. - Faculteit der Economische Wetenschappen, Erasmus … - 2005
In this paper various ensemble learning methods from machine learning and statistics are considered and applied to the customer choice modeling problem. The application of ensemble learning usually improves the prediction quality of flexible models like decision trees and thus leads to improved...
Persistent link: https://www.econbiz.de/10010731879
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Improved customer choice predictions using ensemble methods
Wezel, M.C. van; Potharst, R. - Erasmus University Rotterdam, Econometric Institute - 2005
In this paper various ensemble learning methods from machine learning and statistics are considered and applied to the customer choice modeling problem. The application of ensemble learning usually improves the prediction quality of flexible models like decision trees and thus leads to improved...
Persistent link: https://www.econbiz.de/10005450872
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AUK: a simple alternative to the AUC
Kaymak, Uzay; Ben-David, Ben-David, A.; Potharst, … - Erasmus Research Institute of Management (ERIM), … - 2010
The area under Receiver Operating Characteristic (ROC) curve, also known as the AUC-index, is commonly used for ranking … the performance of data mining models. The AUC has many merits, such as objectivity and ease of interpretation. However … proposed AUK-index compensates for the above basic flaw of the AUC by being sensitive to the class distribution. Therefore it …
Persistent link: https://www.econbiz.de/10010731206
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AUK: a simple alternative to the AUC
Kaymak, Uzay; Ben-David, A.; Potharst, R. - Erasmus Research Institute of Management (ERIM), ERIM … - 2010
The area under Receiver Operating Characteristic (ROC) curve, also known as the AUC-index, is commonly used for ranking … the performance of data mining models. The AUC has many merits, such as objectivity and ease of interpretation. However … proposed AUK-index compensates for the above basic flaw of the AUC by being sensitive to the class distribution. Therefore it …
Persistent link: https://www.econbiz.de/10008484125
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Regularization in statistics
Bickel, Peter; Li, Bo; Tsybakov, Alexandre; Geer, Sara; … - In: TEST: An Official Journal of the Spanish Society of … 15 (2006) 2, pp. 271-344
Persistent link: https://www.econbiz.de/10005613248
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Bootstrap and Empirical Likelihood-based Semi-parametric Inference for the Difference between Two Partial AUCs
Huang, Xin - 2008
With new tests being developed and marketed, the comparison of the diagnostic accuracy of two continuous-scale diagnostic tests are of great importance. Comparing the partial areas under the receiver operating characteristic curves (pAUC) is an effective method to evaluate the accuracy of two...
Persistent link: https://www.econbiz.de/10009463363
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Empirical Likelihood-Based NonParametric Inference for the Difference Between Two Partial AUCS
Yuan, Yan - 2007
Compare the accuracy of two continuous-scale tests is increasing important when a new test is developed. The traditional approach that compares the entire areas under two Receiver Operating Characteristic (ROC) curves is not sensitive when two ROC curves cross each other. A better approach to...
Persistent link: https://www.econbiz.de/10009463422
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Statistical Inferences for the Youden Index
Zhou, Haochuan - 2011
In diagnostic test studies, one crucial task is to evaluate the diagnostic accuracy of a test. Currently, most studies focus on the Receiver Operating Characteristics Curve and the Area Under the Curve. On the other hand, the Youden index, widely applied in practice, is another comprehensive...
Persistent link: https://www.econbiz.de/10009480799