topic ROC curve comparison for custom score and FICO in SAS Risk Management

ROC curve comparison for custom score and FICO

nismail1976 — Mon, 20 Jun 2016 16:49:23 GMT

hello everyone,

I have already built a custom score model using logistic regression using enterprise miner. Now, I need to compare my custom score to FICO via ROC curves. What I need is the computation of Area under the ROC curve for FICO.

Can someone help please?

Thanks

Re: ROC curve comparison for custom score and FICO

Ksharp — Tue, 21 Jun 2016 02:31:41 GMT

Check Rick's blog :

http://blogs.sas.com/content/iml/2011/07/08/the-area-under-a-density-estimate-curve-nonparametric-estimates.html

http://blogs.sas.com/content/iml/2011/06/03/a-statistical-application-of-numerical-integration-the-area-under-an-roc-curve.html