Performance of evaluation metrics for classification in imbalanced data

Alex Cruz Huayanay (), Jorge L. Bazán () and Cibele M. Russo ()
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Alex Cruz Huayanay: Pontificia Universidad Católica del Perú
Jorge L. Bazán: University of São Paulo
Cibele M. Russo: University of São Paulo

Computational Statistics, 2025, vol. 40, issue 3, No 12, 1447-1473

Abstract: Abstract This paper investigates the effectiveness of various metrics for selecting the adequate model for binary classification when data is imbalanced. Through an extensive simulation study involving 12 commonly used metrics of classification, our findings indicate that the Matthews Correlation Coefficient, G-Mean, and Cohen’s kappa consistently yield favorable performance. Conversely, the area under the curve and Accuracy metrics demonstrate poor performance across all studied scenarios, while other seven metrics exhibit varying degrees of effectiveness in specific scenarios. Furthermore, we discuss a practical application in the financial area, which confirms the robust performance of these metrics in facilitating model selection among alternative link functions.

Keywords: Asymmetric links; Bayesian estimation; Binary classification; Imbalance; Metrics for classification (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s00180-024-01539-5

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