UNSPECIFIED (2002) Overestimation of the receiver operating characteristic curve for logistic regression. BIOMETRIKA, 89 (2). pp. 315-331. ISSN 0006-3444

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Abstract

Logistic regression is often used to find a linear combination of covariates which best discriminates between two groups or populations. The ROC, receiver operating characteristic, curve is a good way of assessing the performance of the resulting score, but using the same data both to fit the score and to calculate its ROC leads to an over-optimistic estimate of the performance which the score would give if it were to be validated on a sample of future cases. The paper studies the extent of this overestimation, and suggests a shrinkage correction for the ROC curve itself and for the area under the curve. The correction is consistent with Efron's formula for the bias in the error rate of a binary prediction rule. Two medical examples are discussed.

Item Type:	Journal Article
Subjects:	Q Science > QH Natural history > QH301 Biology Q Science > QA Mathematics
Journal or Publication Title:	BIOMETRIKA
Publisher:	BIOMETRIKA TRUST
ISSN:	0006-3444
Date:	June 2002
Volume:	89
Number:	2
Number of Pages:	17
Page Range:	pp. 315-331
Publication Status:	Published
URI:	http://wrap.warwick.ac.uk/id/eprint/10822

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