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Ranking-Based Choice of Regressors in Probability Models

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Schab I., Institute of Statistics and Demography. Warsaw School of Economics
Acta Universitatis Lodziensis. Folia Oeconomica
|
2009
|
vol. 228
PL
W artykule przedstawiono propozycję wykorzystania krzywych ROC (Receiver Operating Characteristic) i CAP (Cummulative Accuracy Profile) w doborze zmiennych objaśniających w modelu prawdopodobieństwa. Kryterium doboru zmiennych opiera się na wartościach miar dyskryminacji wyznaczonych na podstawie krzywych ROC/CAP jak i uwzględnia sam kształt krzywych.
EN
The article presents a proposal of using the Receiver Operating Characteristic (ROC) and Cumulative Accuracy Profile (CAP) curves as a ranking-based method for a choice of regressors in probability model. The criterion of reggresors’ choice uses the value of summary statistics of discrimination based on ROC/CAP curves as well as it takes into account the shape of the curves itself.
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