Calibration, Discrimination, and Ethics
Matt Bogard (noreply@blogger.com)
Classification models with binary and categorical outcomes are often assessed based on the c-statistic or area under the ROC curve. (see also: http://econometricsense.blogspot.com/2013/04/is-roc-curve-good-metric-for-model.html ) This metric ranges between 0 and 1 and provides a summary of model performance in terms of its ability to rank observations. For example, if a model is developed to predict the probability of default, the area under the ROC curve can be interpreted as the probability th