How would you construct a confidence band for the ROC curve?
I do not mean a confidence interval for the AUC or for other parameters that can be derived from the ROC curve, but a confidence band for the curve itself.
I came across this paper from Macskassy, Provost & Rosset, but it is relatively old paper (from 2005), and also this paper by Kerekes from 2008 (but it does not provide a methodology which was not considered by Macskassy et. al.
I was thinking about using bootstrap, but then the question is how to order the bootstraped curves to get the 2.5% and 97.5% percentiles. One possibility is to order the curves by their respective AUCs, or another one-dimentional parameter (e.g. Youden index).
Any idea will be welcomed.