Compute AUROC and ROC data
[
computes the area under the receiver operating characteristic curve (AUROC) and
returns the data for the corresponding ROC curve.
DiscMeasure
,DiscData
] = modelDiscrimination(pdModel
,data
)modelDiscrimination
supports segmentation and comparison
against a reference model.
[
specifies options using one or more name-value pair arguments in addition to the
input arguments in the previous syntax.DiscMeasure
,DiscData
] = modelDiscrimination(___,Name,Value
)
[1] Baesens, Bart, Daniel Roesch, and Harald Scheule. Credit Risk Analytics: Measurement Techniques, Applications, and Examples in SAS. Wiley, 2016.
[2] Bellini, Tiziano. IFRS 9 and CECL Credit Risk Modelling and Validation: A Practical Guide with Examples Worked in R and SAS. San Diego, CA: Elsevier, 2019.
[3] Breeden, Joseph. Living with CECL: The Modeling Dictionary. Santa Fe, NM: Prescient Models LLC, 2018.
fitLifetimePDModel
| Logistic
| modelAccuracy
| predict
| predictLifetime
| Probit