Non Parametric Confidence Intervals for Receiver Operating Characteristic Curves
We study methods for constructing confidence intervals, and confidence bands, for estimators of receiver operating characteristics. Particular emphasis is placed on the way in which smoothing should be implemented, when estimating either the characteristic itself or its variance. We show that substantial undersmoothing is necessary if coverage properties are not to be impaired. A theoretical analysis of the problem suggests an empirical, plug-in rule for bandwidth choice, optimising the coverage accuracy of interval estimators. The performance of this approach is explored. Our preferred technique is based on asymptotic approximation, rather than a more sophisticated approach using the bootstrap, since the latter requires a multiplicity of smoothing parameters all of which must be chosen in nonstandard ways. It is shown that the asymptotic method can give very good performance.
|Date of creation:||Jul 2003|
|Date of revision:|
|Contact details of provider:|| Postal: PO Box 11E, Monash University, Victoria 3800, Australia|
Phone: +61 3 99052489
Fax: +61 3 99055474
Web page: http://business.monash.edu/econometrics-and-business-statistics
More information through EDIRC
|Order Information:|| Web: http://business.monash.edu/econometrics-and-business-statistics Email: |
When requesting a correction, please mention this item's handle: RePEc:msh:ebswps:2003-12. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dr Xibin Zhang)
If references are entirely missing, you can add them using this form.