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http://dx.doi.org/10.5351/KJAS.2011.24.1.185

AROC Curve and Optimal Threshold  

Hong, Chong-Sun (Department of Statistics, Sungkyunkwan University)
Lee, Hee-Jung (Research Institute of Applied Statistics, Sungkyunkwan University)
Publication Information
The Korean Journal of Applied Statistics / v.24, no.1, 2011 , pp. 185-191 More about this Journal
Abstract
In the credit evaluation study with the assumption of mixture distributions, the ROC curve is a useful method to explore the discriminatory power of default and non-default borrowers. The AROC curve is an adjusted ROC curve that can be identified with the corresponding score and is mathematically analyzed in this work. We obtain patterns of this curve by applying normal distributions. Moreover, the relationship between the AROC curve and many classification accuracy statistics are explored to find the optimal threshold. In the case of equivalent variances of two distributions, we obtain that the local minimum of the AROC curve is estimated at the optimal threshold to maximize certain classification accuracies.
Keywords
Classification accuracy; credit; default; discriminatory power; odds ratio; score;
Citations & Related Records
Times Cited By KSCI : 3  (Citation Analysis)
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