Overestimation of the receiver operating characteristic curve for logistic regression

J. B. Copas

Biometrika, 2002, vol. 89, issue 2, 315-331

Abstract: Logistic regression is often used to find a linear combination of covariates which best discriminates between two groups or populations. The ROC, receiver operating characteristic, curve is a good way of assessing the performance of the resulting score, but using the same data both to fit the score and to calculate its ROC leads to an over-optimistic estimate of the performance which the score would give if it were to be validated on a sample of future cases. The paper studies the extent of this overestimation, and suggests a shrinkage correction for the ROC curve itself and for the area under the curve. The correction is consistent with Efron's formula for the bias in the error rate of a binary prediction rule. Two medical examples are discussed. Copyright Biometrika Trust 2002, Oxford University Press.

Date: 2002
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