Optimal ROC Curves from Score Variable Threshold Tests

12/15/2020
by   Catherine Medlock, et al.
0

The Receiver Operating Characteristic (ROC) is a well-established representation of the tradeoff between detection and false alarm probabilities in binary hypothesis testing. In many practical contexts ROC's are generated by thresholding a measured score variable – applying score variable threshold tests (SVT's). In many cases the resulting curve is different from the likelihood ratio test (LRT) ROC and is therefore not Neyman-Pearson optimal. While it is well-understood that concavity is a necessary condition for an ROC to be Neyman-Pearson optimal, this paper establishes that it is also a sufficient condition in the case where the ROC was generated using SVT's. It further defines a constructive procedure by which the LRT ROC can be generated from a non-concave SVT ROC, without requiring explicit knowledge of the conditional PDF's of the score variable. If the conditional PDF's are known, the procedure implicitly provides a way of redesigning the test so that it is equivalent to an LRT.

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