Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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ROC Curve for Multivariate Random Variables

  • Received : 2013.02.01
  • Accepted : 2013.05.14
  • Published : 2013.05.31
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Abstract

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.

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References

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