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Nonparametric Confidence Intervals for Receiver Operating Characteristic Curves

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journal contribution
posted on 07.06.2017 by Hall, Peter G., Hyndman, Rob J., Fan, Yanan
We study methods for constructing confidence intervals, and confidence bands, for estimators of receiver operating characteristics. Particular emphasis is placed on the way in which smoothing should be implemented, when estimating either the characteristic itself or its variance. We show that substantial undersmoothing is necessary if coverage properties are not to be impaired. A theoretical analysis of the problem suggests an empirical, plug-in rule for bandwidth choice, optimising the coverage accuracy of interval estimators. The performance of this approach is explored. Our preferred technique is based on asymptotic approximation, rather than a more sophisticated approach using the bootstrap, since the latter requires a multiplicity of smoothing parameters all of which must be chosen in nonstandard ways. It is shown that the asymptotic method can give very good performance.

History

Year of first publication

2003

Series

Department of Econometrics and Business Statistics

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