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Consistency of the estimator of binary response models based on AUC maximization

Listed author(s):
  • Igor Fedotenkov

    ()

This paper examines the asymptotic properties of a binary response model estimator based on maximization of the Area Under receiver operating characteristic Curve (AUC). Given certain assumptions, AUC maximization is a consistent method of binary response model estimation up to normalizations. As AUC is equivalent to Mann-Whitney U statistics and Wilcoxon test of ranks, maximization of area under ROC curve is equivalent to the maximization of corresponding statistics. Compared to parametric methods, such as logit and probit, AUC maximization relaxes assumptions about error distribution, but imposes some restrictions on the distribution of explanatory variables, which can be easily checked, since this information is observable. Copyright Springer-Verlag Berlin Heidelberg 2013

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File URL: http://hdl.handle.net/10.1007/s10260-013-0229-4
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Article provided by Springer & Società Italiana di Statistica in its journal Statistical Methods & Applications.

Volume (Year): 22 (2013)
Issue (Month): 3 (August)
Pages: 381-390

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Handle: RePEc:spr:stmapp:v:22:y:2013:i:3:p:381-390
DOI: 10.1007/s10260-013-0229-4
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  1. Manski, Charles F, 1983. "Closest Empirical Distribution Estimation," Econometrica, Econometric Society, vol. 51(2), pages 305-319, March.
  2. Manski, Charles F. & Thompson, T. Scott, 1986. "Operational characteristics of maximum score estimation," Journal of Econometrics, Elsevier, vol. 32(1), pages 85-108, June.
  3. Manski, Charles F., 1985. "Semiparametric analysis of discrete response : Asymptotic properties of the maximum score estimator," Journal of Econometrics, Elsevier, vol. 27(3), pages 313-333, March.
  4. Wenxia Ge & G. Whitmore, 2010. "Binary response and logistic regression in recent accounting research publications: a methodological note," Review of Quantitative Finance and Accounting, Springer, vol. 34(1), pages 81-93, January.
  5. Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-531, May.
  6. Manski, Charles F., 1975. "Maximum score estimation of the stochastic utility model of choice," Journal of Econometrics, Elsevier, vol. 3(3), pages 205-228, August.
  7. Manski, Charles F., 1986. "Semiparametric analysis of binary response from response-based samples," Journal of Econometrics, Elsevier, vol. 31(1), pages 31-40, February.
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