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

DOI10.1080/03610926.2018.1435814OpenAlexW2790900497MaRDI QIDQ5078366

Edward Zeng, Guoping Zeng

Publication date: 23 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1435814

zbMATH Keywords

receiver operating characteristic (ROC)Wilcoxon rank-sum statisticconcordant pairdiscordant pairthe area under curve (AUC)tied pair

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (4)

On the confusion matrix in credit scoring and its analytical properties ⋮ On the relationship between multicollinearity and separation in logistic regression ⋮ A graphic and tabular variable deduction method in logistic regression ⋮ On the analytical properties of category encodings in logistic regression

Cites Work

• A unified definition of mutual information with applications in machine learning
• Metric divergence measures and information value in credit scoring
• A comparison study of computational methods of Kolmogorov–Smirnov statistic in credit scoring
• Invariant properties of logistic regression model in credit scoring under monotonic transformations
• On the existence of maximum likelihood estimates for weighted logistic regression
• A simple generalisation of the area under the ROC curve for multiple class classification problems

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