Consistency of the estimator of binary response models based on AUC maximization

Igor Fedotenkov

Statistical Methods & Applications, 2013, vol. 22, issue 3, 390 pages

Abstract: This paper examines the asymptotic properties of a binary response model estimator based on maximization of the Area Under receiver operating characteristic Curve (AUC). Given certain assumptions, AUC maximization is a consistent method of binary response model estimation up to normalizations. As AUC is equivalent to Mann-Whitney U statistics and Wilcoxon test of ranks, maximization of area under ROC curve is equivalent to the maximization of corresponding statistics. Compared to parametric methods, such as logit and probit, AUC maximization relaxes assumptions about error distribution, but imposes some restrictions on the distribution of explanatory variables, which can be easily checked, since this information is observable. Copyright Springer-Verlag Berlin Heidelberg 2013

Keywords: ROC; AUC maximization; Consistency; Binary response model; 62G05; 62G20; 62J15 (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s10260-013-0229-4

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