Dieter Menne wrote:
Maithili Shiva <maithili_shiva <at> yahoo.com> writes:
I havd main sample of 42500 clentes and
based on their status as regards to defaulted / non - defaulted, I have
genereted the probability of default.
I have a hold out sample of 5000 clients. I have calculated (1) No of
correctly classified goods Gg, (2) No of
correcly classified Bads Bg and also (3) number of wrongly classified bads
(Gb) and (4) number of wrongly
classified goods (Bg).
The simple and wrong answer is to use these data directly to compute sensitivity
(fraction of hits). This measure is useless, but I encounter it often in medical
publications.
You can get a more reasonable answer by using cross-validation. Check, for
example, Frank Harrell's
http://biostat.mc.vanderbilt.edu/twiki/pub/Main/RmS/logistic.val.pdf
But if he has a "hold out sample", isn't he already cross-validating??
I wonder if you're answering the right question there. Could he just
be looking for Sp=Gg/(Gg+Bg), Se=Bb/(Gb+Bb)? (If I got the notation
right.)
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