Working Papers 2002 – Abstracts
An Improved Method for Bandwidth Selection when Estimating ROC Curves
Peter Hall and Rob J Hyndman
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.
Keywords: Bandwidth selection; binary classification; kernel estimator;
ROC curve.
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