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I wish to perform a binary classification task on a dataset I have gathered, with unbalanced classes (~55% for one class).

The relation/correspondence between the features and the classes I deal with is not established in the literature yet, so a model which is not completely useless is of some value.

Since the data is unbalanced, I employ Area Under ROC (AUROC) as a measure of fit. I use random forest in order to fit the model given the data, so the AUROC it obtains depends on the partition to train\test data. Therefore, I believe some version of boosting should be applied.

I would like to test the hypothesis H0 = "The AUROC is equal to 0.5", and if rejected conclude that my model is better than random guess.

So, my question is: if I do 1000 iterations of training\test partitions, train a model on the training data and calculate its AUROC on the test data, what significance test should I use (on the 1000 obtained AUROC scores) in order to show that it is significantly greater than 0.5?

Currently I use bootstraping to estimate the p-value, although I sure this is somewhat wrong (since the samples are not i.i.d.). I saw this post and also this one suggesting significance testing for AUROC, but I am still not sure those how these tests work with boosting.

Any Idea?

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  • $\begingroup$ maybe this helps= pdfs.semanticscholar.org/1f12/… $\endgroup$ – user83346 Aug 13 '17 at 7:05
  • $\begingroup$ I would have thought it isn't possible, but apparently you can do significance tests of Random Forests (at least, this is suggested by rdrr.io/cran/rfUtilities/man/rf.significance.html). Maybe you can figure out what that method does and then transfer it to AUROC? $\endgroup$ – nlml Aug 13 '17 at 7:34

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