On the three-way equivalence of AUC in credit scoring with tied scores

Guoping Zeng and Edward Zeng

Communications in Statistics - Theory and Methods, 2019, vol. 48, issue 7, 1635-1650

Abstract: In credit scoring, it is well known that AUC (the area under curve) can be calculated geometrically, by the probability of a correct ranking of a good and bad pair, and by the Wilcoxon Rank-Sum statistic. This three-way equivalence was first present by Hanley and McNeil in 1982 without considering tied scores and without giving analytical proofs. In this paper, we extend the three-way equivalence to the case with tied scores and provide analytic proofs for the three-way equivalence.

Date: 2019
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DOI: 10.1080/03610926.2018.1435814

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