cumulative gains model quality metric累计收益质量度量模型.pdfVIP

Hindawi Publishing Corporation Journal of Applied Mathematics and Decision Sciences Volume 2009, Article ID 868215, 14 pages doi:10.1155/2009/868215 Research Article Cumulative Gains Model Quality Metric Thomas Brandenburger and Alfred Furth Department of Mathematics and Statistics, South Dakota State University, Box 2220, Brookings, SD 57007, USA Correspondence should be addressed to Thomas Brandenburger, thomas.brandenburger@ Received 1 December 2008; Accepted 13 April 2009 Recommended by Lean Yu This paper proposes a more comprehensive look at the ideas of KS and Area Under the Curve AUC of a cumulative gains chart to develop a model quality statistic which can be used agnostically to evaluate the quality of a wide range of models in a standardized fashion. It can be either used holistically on the entire range of the model or at a given decision threshold of the model. Further it can be extended into the model learning process. Copyright q 2009 T. Brandenburger and A. Furth. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. 1. Introduction In developing risk models, developers employ a number of graphical and numerical tools to evaluate the quality of candidate models. These traditionally involve numerous measures including the KS statistic or one of many Area Under the Curve AUC methodologies on ROC and cumulative Gains charts. Typical employment of these methodologies involves one of two scenarios. The first is as a tool to evaluate one or more models and ascertain the effectiveness of that model. Second however is the inclusion of such a metric in the model building process itself such as the way Ferri et al.