ROC Curve for Multivariate Random Variables

Hong, Chong Sun

  • 투고 : 2013.02.01
  • 심사 : 2013.05.14
  • 발행 : 2013.05.31


The ROC curve is drawn with two conditional cumulative distribution functions (or survival functions) of the univariate random variable. In this work, we consider joint cumulative distribution functions of k random variables, and suggest a ROC curve for multivariate random variables. With regard to the values on the line, which passes through two mean vectors of dichotomous states, a joint cumulative distribution function can be regarded as a function of the univariate variable. After this function is modified to satisfy the properties of the cumulative distribution function, a ROC curve might be derived; moreover, some illustrative examples are demonstrated.


Classification;default;discrimination;FPR;ROC curve;threshold;TPR


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