Monash University
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An Improved Method for Bandwidth Selection when Estimating Roc Curves

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journal contribution
posted on 2017-06-06, 01:34 authored by Hall, Peter G, Hyndman, Rob J.
The receiver operating characteristic (ROC) curve is used to describe the performance of a diagnostic test which classifies observations into two groups. We introduce a new method for selecting bandwidths when computing kernel estimates of ROC curves. Our technique allows for interaction between the distributions of each group of observations and gives substantial improvement in MISE over other proposed methods, especially when the two distributions are very different.


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Department of Econometrics and Business Statistics

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