I split my dataset into 2 parts: 75% of it is the training set, 25% of it is the test set. Then I estimated the logistic regression parameters in the training set and I compute the Area Under the ROC Curve (AUC) (of the model estimated in the training set) from the test set. Since the test set is formed by 2500 observations on 20 variables, I was expected to get 2500 AUC, one each row. Why I just get one AUC?
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6$\begingroup$ Area under the ROC curve is a summary statistics for the performance on your entire test set. It quantifies your model's performance on all 2500 observations, yielding a single number. $\endgroup$– Marc ClaesenOct 22, 2015 at 12:02
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$\begingroup$ @MarcClaesen this should really be written as an answer instead of a comment... $\endgroup$– CalimoOct 22, 2015 at 16:33
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$\begingroup$ @Calimo done, just feels so ... short :-) $\endgroup$– Marc ClaesenOct 22, 2015 at 16:41
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Area under the ROC curve is a summary statistics for the performance on your entire test set. It quantifies your model's performance on all 2500 observations, yielding a single number.
answered Oct 22, 2015 at 16:41
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$\begingroup$ Thanks for the explanation Marc. So, why I still get one AUC if my test set is formed by just 1 observation on all the variables? $\endgroup$ Oct 22, 2015 at 17:27
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$\begingroup$ @LucaDibo you will need at least one positive and one negative observation to compute an AUC. $\endgroup$– CalimoOct 28, 2015 at 17:26