Lift Curve

[aha123]

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

[SASKiwi]

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

[aha123]

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

[SASKiwi]

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

[rayIII · Accepted solution]

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