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An Improved Method for Bandwidth Selection when Estimating ROC Curves

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Author Info
Peter Hall
Rob J. Hyndman ()

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Abstract

The receiver operating characteristic (ROC) curve is used to describe the performance of a diagnostic test which classifies observations into two groups. We introduce a new method for selecting bandwidths when computing kernel estimates of ROC curves. Our technique allows for interaction between the distributions of each group of observations and gives substantial improvement in MISE over other proposed methods, especially when the two distributions are very different.

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File URL: http://www.buseco.monash.edu.au/depts/ebs/pubs/wpapers/2002/wp11-02.pdf
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Publisher Info
Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 11/02.

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Length: 6 pages
Date of creation: Sep 2002
Date of revision:
Handle: RePEc:msh:ebswps:2002-11

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Related research
Keywords: Bandwidth selection; binary classification; kernel estimator; ROC curve;

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Lloyd, Chris J. & Yong, Zhou, 1999. "Kernel estimators of the ROC curve are better than empirical," Statistics & Probability Letters, Elsevier, vol. 44(3), pages 221-228, September. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Peter G. Hall & Rob J. Hyndman & Yanan Fan, 2003. "Non Parametric Confidence Intervals for Receiver Operating Characteristic Curves," Monash Econometrics and Business Statistics Working Papers 12/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  2. Pablo Martínez-Camblor, 2007. "Comparación de pruebas diagnósticas desde la curva ROC," Revista Colombiana de Estadística, REVISTA COLOMBIANA DE ESTADISTICA. [Downloadable!]
  3. Kaushik Ghosh & Ram Tiwari, 2007. "Empirical process approach to some two-sample problems based on ranked set samples," Annals of the Institute of Statistical Mathematics, Springer, vol. 59(4), pages 757-787, December. [Downloadable!] (restricted)
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