topic Re: Lift Curve in SAS Data Science

Lift Curve

aha123 — Mon, 13 Jun 2016 21:33:15 GMT

Lift curve allows modelers to compare models. But this is done visually. Can lift chart be translated into a single metric so that comparison can be made even easier?

Here is a lift curve example online:

http://www.kdnuggets.com/gpspubs/kdd99-est-ben-lift/sld022.htm

Re: Lift Curve

SASKiwi — Tue, 14 Jun 2016 19:54:20 GMT

I'm no expert in this area but I think you are after the Gini index or Somer's D or calculating the area under a ROC curve. This link contains references to all of these:

http://support.sas.com/kb/30/333.html#roc

Re: Lift Curve

aha123 — Tue, 14 Jun 2016 20:14:43 GMT

I forgot to mention this is a question for regression problem. As far as I know, ROC is for classifier problems.

Re: Lift Curve

SASKiwi — Wed, 15 Jun 2016 00:26:35 GMT

If its a binary outcome then PROC LOGISTIC is mentioned as well in the link page.

Re: Lift Curve

rayIII — Wed, 15 Jun 2016 14:15:30 GMT

Hi, Aha. Do you really want to compare entire curves?

Data miners usually compare lift curves at a particular sample depth. In Enterprise Miner, the Model Comparison node uses a default depth of 10 when Lift is the model selection criterion, but you can change the default depth.

Ray