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Computationally efficient confidence intervals for cross-validated area under the ROC curve estimates

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LeDell, Erin, Petersen, Maya, van der Laan, Mark·2015·Electronic Journal of Statistics

Abstract

In binary classification problems, the area under the ROC curve (AUC) is commonly used to evaluate the performance of a prediction model. Often, it is combined with cross-validation in order to assess how the results will generalize to an independent data set. In order to evaluate the quality of an estimate for cross-validated AUC, we obtain an estimate of its variance. For massive data sets, the process of generating a single performance estimate can be computationally expensive. Additionally, when using a complex prediction method, the process of cross-validating a predictive model on even a relatively small data set can still require a large amount of computation time. Thus, in many practical settings, the bootstrap is a computationally intractable approach to variance estimation. As an alternative to the bootstrap, we demonstrate a computationally efficient influence curve based approach to obtaining a variance estimate for cross-validated AUC.

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Research works printed but not linked: 13

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Metadata

Authors
LeDell, E., Petersen, M., & van der Laan, M.
Venue
Electronic Journal of Statistics
Published
2015-01-01
Volume
9
Issue
1
Pages
1583-1607
ISSN
1935-7524 (ISSN-L)
OpenAlex
W2151699048
Cited by
239
References
3
FWCI
9.70
Type
journal article
Language
en
Open access
gold

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LeDell, E., Petersen, M., & van der Laan, M. (2015). Computationally efficient confidence intervals for cross-validated area under the ROC curve estimates. Electronic Journal of Statistics. https://doi.org/10.1214/15-ejs1035

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