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RE: Re: st: Re: cutoff point for ROC curve


From   Joe Canner <jcanner1@jhmi.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: Re: st: Re: cutoff point for ROC curve
Date   Tue, 15 Oct 2013 13:50:57 +0000

Mike,

As was discussed yesterday in a different thread, you can use -roccomp- to compare and plot multiple ROCs.  For example:

. logit outcome predictor1
. lroc
. predict xb_predictor1 if e(sample), xb 
. logit outcome predictor2 
. lroc 
. predict xb_predictor2 if e(sample), xb 
. roccomp outcome xb_predictor1 xb_predictor2, graph summary

Of course, you can also compare/plot more than two ROCs as desired; just repeat the -logit-, -lroc-, -predict-  sequence.

Regards,
Joe Canner
Johns Hopkins University School of Medicine

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Michael Stewart
Sent: Tuesday, October 15, 2013 9:42 AM
To: statalist
Subject: Re: Re: st: Re: cutoff point for ROC curve

Dear Steve and Clyde,
Thank you very much for your time and advice.
I have one additional question and I was hoping to get advice.
If I have  multiple models, these there a way to draw multiple ROC curves in one graph , for better demonstration of the predictive abilities of different models.
Thank you again for your time and effort.

--
Thank you ,
Yours Sincerely,
Mike

On Mon, Oct 14, 2013 at 5:55 PM, Clyde Schechter <clyde.schechter@gmail.com> wrote:
> I would advise Michael Stewart not to seek some arbitrary formula for 
> the optimal cut-off point.  He doesn't say what is being classified, 
> but regardless, the substantive issue is the trade-off between two 
> types of misclassification errors: false negatives and false 
> positives.  Both types of error have consequences, usually different.
> To find an optimal cut-point requires assigning a loss to each type of 
> error and then expressing the expected loss in terms of sensitivity, 
> specificity and prevalence of the attribute being identified by the 
> classification.  Then you pick the cut-off which minimizes the 
> expected loss.
>
> My practical experience with this process is that people are often 
> reluctant to quantify the losses associated with each type of error, 
> because the losses are often of a qualitatively different nature.  For 
> example, a missed diagnosis may lead to loss of life, whereas a false 
> positive diagnosis may lead to unnecessary surgery.  How does one 
> assign values to those?  Not easily.
>
> So it feels more comfortable to seize on some simple formula, such as 
> the sum of sensitivity and specificity.  Nevertheless, if you don't 
> really quantify and compare the losses associated with each type of 
> error, applying some arbitrary formula will give you only the 
> illusion, not the reality, of optimality.  One is simply optimizing an 
> arbitrary quantity that bears no relation to the matter at hand.
>
> Clyde Schechter
> Dept. of Family & Social Medicine
> Albert Einstein College of Medicine
> Bronx, New York, USA
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