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http://dx.doi.org/10.5351/CSAM.2013.20.3.169

ROC Curve for Multivariate Random Variables  

Hong, Chong Sun (Department of Statistics, Sungkyunkwan University)
Publication Information
Communications for Statistical Applications and Methods / v.20, no.3, 2013 , pp. 169-174 More about this Journal
Abstract
The ROC curve is drawn with two conditional cumulative distribution functions (or survival functions) of the univariate random variable. In this work, we consider joint cumulative distribution functions of k random variables, and suggest a ROC curve for multivariate random variables. With regard to the values on the line, which passes through two mean vectors of dichotomous states, a joint cumulative distribution function can be regarded as a function of the univariate variable. After this function is modified to satisfy the properties of the cumulative distribution function, a ROC curve might be derived; moreover, some illustrative examples are demonstrated.
Keywords
Classification; default; discrimination; FPR; ROC curve; threshold; TPR;
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