Auk: A Simple Alternative to the Auc

22 Pages Posted: 7 Jun 2010

See all articles by U. Kaymak

U. Kaymak

Erasmus University Rotterdam (EUR) - Faculty of Economics - Department of Computer Science; Erasmus Research Institute of Management (ERIM)

Rob Potharst

Erasmus University Rotterdam - Department of Computer Science; Erasmus Research Institute of Management (ERIM)

Date Written: January 2010 6,

Abstract

The area under Receiver Operating Characteristic (ROC) curve, also known as the AUC-index, is commonly used for ranking the performance of data mining models. The AUC has many merits, such as objectivity and ease of interpretation. However, since it is class indifferent, its usefulness while dealing with highly skewed data sets is questionable, to say the least. In this paper, we propose a simple alternative scalar measure to the AUCindex, the Area Under an Kappa curve (AUK). The proposed AUK-index compensates for the above basic flaw of the AUC by being sensitive to the class distribution. Therefore it is particularly suitable for measuring classifiers’ performance on skewed data sets. After introducing the AUK we explore its mathematical relationship with the AUC and show that there is a nonlinear relation between them.

Keywords: ROC curve, area under ROC curve, AUC, H-measure, Kappa index, AUK, model ranking, model selection

JEL Classification: M11, R4, M, L23

Suggested Citation

Kaymak, Uzay and Potharst, Rob, Auk: A Simple Alternative to the Auc (January 2010 6,). ERIM Report Series Reference No. ERS-2010-024-LIS, Available at SSRN: https://ssrn.com/abstract=1620718

Uzay Kaymak (Contact Author)

Erasmus University Rotterdam (EUR) - Faculty of Economics - Department of Computer Science ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands

Erasmus Research Institute of Management (ERIM)

P.O. Box 1738
3000 DR Rotterdam
Netherlands

Rob Potharst

Erasmus University Rotterdam - Department of Computer Science ( email )

P.O. Box 1738
Room T08-21
3000 DR Rotterdam, 3000 DR
Netherlands
+31 10 4081343 (Phone)
+31 10 4089167 (Fax)

Erasmus Research Institute of Management (ERIM)

P.O. Box 1738
3000 DR Rotterdam
Netherlands

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