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An Improved Method for Bandwidth Selection when Estimating ROC Curves

Author

Listed:
  • Peter Hall
  • Rob J. Hyndman

    ()

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.

Suggested Citation

  • Peter Hall & Rob J. Hyndman, 2002. "An Improved Method for Bandwidth Selection when Estimating ROC Curves," Monash Econometrics and Business Statistics Working Papers 11/02, Monash University, Department of Econometrics and Business Statistics.
  • Handle: RePEc:msh:ebswps:2002-11
    as

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    File URL: http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2002/wp11-02.pdf
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    References listed on IDEAS

    as
    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.
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    Cited by:

    1. 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;The Institute of Statistical Mathematics, vol. 59(4), pages 757-787, December.

    More about this item

    Keywords

    Bandwidth selection; binary classification; kernel estimator; ROC curve;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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