Estimating weighted areas under the ROC curve

Part of Advances in Neural Information Processing Systems 33 (NeurIPS 2020)

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Authors

Andreas Maurer, Massimiliano Pontil

Abstract

Exponential bounds on the estimation error are given for the plug-in estimator of weighted areas under the ROC curve. The bounds hold for single score functions and uniformly over classes of functions, whose complexity can be controlled by Gaussian or Rademacher averages. The results justify learning algorithms which select score functions to maximize the empirical partial area under the curve (pAUC). They also illustrate the use of some recent advances in the theory of nonlinear empirical processes.