This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
|
516
|
Type:
|
Contributed
|
Date/Time:
|
Wednesday, August 4, 2010 : 10:30 AM to 12:20 PM
|
Sponsor:
|
Business and Economic Statistics Section
|
Abstract - #307505 |
Title:
|
Optimal Threshold from AROC Curve
|
Author(s):
|
Chong Sun Hong+ and Jin Soo Choi* and Hee Jeong Lee
|
Companies:
|
SKK University and SKK University and SKK University
|
Address:
|
3-53 Myungryun Dong, SEOUL, 110745, KOREA
|
Keywords:
|
credit ;
discriminatory ;
default ;
odds-ratio ;
score
|
Abstract:
|
Assuming a mixture distribution for credit evaluation studies with the score random variable, ROC curve is a useful plot to access the discriminatory power of different credit-rating approaches. Even though any point on ROC curve is represented as some functions of a certain score, the score corresponding to each point on ROC curve cannot be obtained. We propose an alternative curve whose horizontal axis is the score, called as Adjusted ROC (AROC) curve. This AROC curve has an advantage that it can be identified with every score. Some shapes of AROC curves are explored based on mixtures of two distributions. By using methods of finding optimal threshold, the relationship of AROC curve is identified. An optimal threshold could be estimated based on the local minimum of the AROC curve, when the variances of two distributions are identical.
|
The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
Back to the full JSM 2010 program
|
2010 JSM Online Program Home
For information, contact jsm@amstat.org or phone (888) 231-3473.
If you have questions about the Continuing Education program, please contact the Education Department.