An Improved Method for Bandwidth Selection when Estimating ROC Curves

Peter Hall and Rob Hyndman ()

No 11/02, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

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.

Keywords: Bandwidth selection; binary classification; kernel estimator; ROC curve (search for similar items in EconPapers)
JEL-codes: C12 C13 C14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2002-09
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