Optimal Threshold from ROC and CAP Curves

DOI10.1080/03610910903243703MaRDI QIDQ3652745zbMATH OpenOpenAlexFDO

Authors Chong Sun Hong

Publication date 16 December 2009

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610910903243703

zbMATH Keywords

accuracycredit ratingcut-off pointdefaultdiscriminatory powerscoretrue rate

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 1865745 (Why is no real title available?)
• Measuring the accuracy of diagnostic systems
• Robust classification for imprecise environments
• ROC Curves for Continuous Data

Cited in

(6)

• A classification problem of credit risk rating investigated and solved by optimisation of the ROC curve
• ROC curves in cost space
• On assessing the relative performance of default predictions
• Optimal cut-off for rare events and unbalanced misclassification costs
• On the optimal binary classifier with an application
• Laplace approximated EM microarray analysis: an empirical Bayes approach for comparative microarray experiments

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