Empirical performance maximization for linear rank statistics

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Empirical performance maximization for linear rank statistics
The ROC curve is known to be the golden standard for measuring performance of a test/scoring statistic regarding its capacity of discrimination between two populations in a wide variety of applications, ranging from anomaly detection in signal processing to information retrieval, through medical diagnosis. Most practical performance measures used in scoring applications such as the AUC, the local AUC, the p-norm push, the DCG and others, can be seen as summaries of the ROC curve. This paper highlights the fact that many of these empirical criteria can be expressed as (conditional) linear rank statistics. We investigate the properties of empirical maximizers of such performance criteria and provide preliminary results for the concentration properties of a novel class of random variables that we will call a linear rank process.
Stéphan Clémençon, Nicolas Va
Added 30 Oct 2010
Updated 30 Oct 2010
Type Conference
Year 2008
Where NIPS
Authors Stéphan Clémençon, Nicolas Vayatis
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