A receiver operating characteristic curve, or ROC curve, is a graphical plot that illustrates the performance of a binary classifier model (although it can be generalized to multiple classes) at varying threshold values. ROC analysis is commonly applied in the assessment of diagnostic test performance in clinical epidemiology.
The ROC curve is the plot of the true positive rate (TPR) against the false positive rate (FPR) at each threshold setting.
The ROC can also be thought of as a plot of the statistical power as a function of the Type I Error of the decision rule (when the performance is calculated from just a sample of the population, it can be thought of as estimators of these quantities). The ROC curve is thus the sensitivity as a function of false positive rate.
Given that the probability distributions for both true positive and false positive are known, the ROC curve is obtained as the cumulative distribution function (CDF, area under the probability distribution from to the discrimination threshold) of the detection probability in the y-axis versus the CDF of the false positive probability on the x-axis.
ROC analysis provides tools to select possibly optimal models and to discard suboptimal ones independently from (and prior to specifying) the cost context or the class distribution. ROC analysis is related in a direct and natural way to the cost/benefit analysis of diagnostic decision making.
Terminology
The true-positive rate is also known as sensitivity or probability of detection. The false-positive rate is also known as the probability of false alarm and equals (1 − specificity). The ROC is also known as a relative operating characteristic curve, because it is a comparison of two operating characteristics (TPR and FPR) as the criterion changes.Swets, John A.; Signal detection theory and ROC analysis in psychology and diagnostics : collected papers , Lawrence Erlbaum Associates, Mahwah, NJ, 1996
History The ROC curve was first developed by electrical engineers and radar engineers during World War II for detecting enemy objects in battlefields, starting in 1941, which led to its name ("receiver operating characteristic").
It was soon introduced to psychology to account for the perceptual detection of stimuli. ROC analysis has been used in medicine, radiology, biometrics, forecasting of natural hazards, meteorology, model performance assessment, and other areas for many decades and is increasingly used in machine learning and data mining research.
Basic concept
A classification model (classifier or diagnosis) is a mapping of instances between certain classes/groups. Because the classifier or diagnosis result can be an arbitrary real value (continuous output), the classifier boundary between classes must be determined by a threshold value (for instance, to determine whether a person has hypertension based on a blood pressure measure). Or it can be a discrete class label, indicating one of the classes.
Consider a two-class prediction problem (binary classification), in which the outcomes are labeled either as positive (p) or negative (n). There are four possible outcomes from a binary classifier. If the outcome from a prediction is p and the actual value is also p, then it is called a true positive (TP); however if the actual value is n then it is said to be a false positive (FP). Conversely, a true negative (TN) has occurred when both the prediction outcome and the actual value are n, and a false negative (FN) is when the prediction outcome is n while the actual value is p.
To get an appropriate example in a real-world problem, consider a diagnostic test that seeks to determine whether a person has a certain disease. A false positive in this case occurs when the person tests positive, but does not actually have the disease. A false negative, on the other hand, occurs when the person tests negative, suggesting they are healthy, when they actually do have the disease.
Consider an experiment from P positive instances and N negative instances for some condition. The four outcomes can be formulated in a 2×2 contingency table or confusion matrix, as follows:
ROC space
The contingency table can derive several evaluation "metrics" (see infobox). To draw a ROC curve, only the true positive rate (TPR) and false positive rate (FPR) are needed (as functions of some classifier parameter). The TPR defines how many correct positive results occur among all positive samples available during the test. FPR, on the other hand, defines how many incorrect positive results occur among all negative samples available during the test.
A ROC space is defined by FPR and TPR as x and y axes, respectively, which depicts relative trade-offs between true positive (benefits) and false positive (costs). Since TPR is equivalent to sensitivity and FPR is equal to 1 − specificity, the ROC graph is sometimes called the sensitivity vs (1 − specificity) plot. Each prediction result or instance of a confusion matrix represents one point in the ROC space.
The best possible prediction method would yield a point in the upper left corner or coordinate (0,1) of the ROC space, representing 100% sensitivity (no false negatives) and 100% specificity (no false positives). The (0,1) point is also called a perfect classification. A random guess would give a point along a diagonal line (the so-called line of no-discrimination) from the bottom left to the top right corners (regardless of the positive and negative base rates). An intuitive example of random guessing is a decision by flipping coins. As the size of the sample increases, a random classifier's ROC point tends towards the diagonal line. In the case of a balanced coin, it will tend to the point (0.5, 0.5).
The diagonal divides the ROC space. Points above the diagonal represent good classification results (better than random); points below the line represent bad results (worse than random). Note that the output of a consistently bad predictor could simply be inverted to obtain a good predictor.
Consider four prediction results from 100 positive and 100 negative instances:
+ A B C C′ TP = 63 FN = 37 100 FP = 28 TN = 72 100 91 109 200 TP = 77 FN = 23 100 FP = 77 TN = 23 100 154 46 200 TP = 24 FN = 76 100 FP = 88 TN = 12 100 112 88 200 TP = 76 FN = 24 100 FP = 12 TN = 88 100 88 112 200 TPR = 0.63 TPR = 0.77 TPR = 0.24 TPR = 0.76 FPR = 0.28 FPR = 0.77 FPR = 0.88 FPR = 0.12 PPV = 0.69 PPV = 0.50 PPV = 0.21 PPV = 0.86 F1 = 0.66 F1 = 0.61 F1 = 0.23 F1 = 0.81 ACC = 0.68 ACC = 0.50 ACC = 0.18 ACC = 0.82
Plots of the four results above in the ROC space are given in the figure. The result of method A clearly shows the best predictive power among A, B, and C. The result of B lies on the random guess line (the diagonal line), and it can be seen in the table that the accuracy of B is 50%. However, when C is mirrored across the center point (0.5,0.5), the resulting method C′ is even better than A. This mirrored method simply reverses the predictions of whatever method or test produced the C contingency table. Although the original C method has negative predictive power, simply reversing its decisions leads to a new predictive method C′ which has positive predictive power. When the C method predicts p or n, the C′ method would predict n or p, respectively. In this manner, the C′ test would perform the best. The closer a result from a contingency table is to the upper left corner, the better it predicts, but the distance from the random guess line in either direction is the best indicator of how much predictive power a method has. If the result is below the line (i.e. the method is worse than a random guess), all of the method's predictions must be reversed in order to utilize its power, thereby moving the result above the random guess line.
Curves in ROC space
In binary classification, the class prediction for each instance is often made based on a continuous random variable , which is a "score" computed for the instance (e.g. the estimated probability in logistic regression). Given a threshold parameter , the instance is classified as "positive" if , and "negative" otherwise. follows a probability density if the instance actually belongs to class "positive", and if otherwise. Therefore, the true positive rate is given by and the false positive rate is given by . The ROC curve plots parametrically versus with as the varying parameter.
For example, imagine that the blood protein levels in diseased people and healthy people are normally distributed with means of 2 g/dL and 1 g/dL respectively. A medical test might measure the level of a certain protein in a blood sample and classify any number above a certain threshold as indicating disease. The experimenter can adjust the threshold (green vertical line in the figure), which will in turn change the false positive rate. Increasing the threshold would result in fewer false positives (and more false negatives), corresponding to a leftward movement on the curve. The actual shape of the curve is determined by how much overlap the two distributions have.
Criticisms
Several studies criticize certain applications of the ROC curve and its area under the curve as measurements for assessing binary classifications when they do not capture the information relevant to the application.
The main criticism to the ROC curve described in these studies regards the incorporation of areas with low sensitivity and low specificity (both lower than 0.5) for the calculation of the total area under the curve (AUC), as described in the plot on the right.
According to the authors of these studies, that portion of area under the curve (with low sensitivity and low specificity) regards confusion matrices where binary predictions obtain bad results, and therefore should not be included for the assessment of the overall performance. Moreover, that portion of AUC indicates a space with high or low confusion matrix threshold which is rarely of interest for scientists performing a binary classification in any field.
Another criticism to the ROC and its area under the curve is that they say nothing about precision and negative predictive value.
A high ROC AUC, such as 0.9 for example, might correspond to low values of precision and negative predictive value, such as 0.2 and 0.1 in the [0, 1] range. If one performed a binary classification, obtained an ROC AUC of 0.9 and decided to focus only on this metric, they might overoptimistically believe their binary test was excellent. However, if this person took a look at the values of precision and negative predictive value, they might discover their values are low.
The ROC AUC summarizes sensitivity and specificity, but does not inform regarding precision and negative predictive value.
Further interpretations
Sometimes, the ROC is used to generate a summary statistic. Common versions are: the intercept of the ROC curve with the line at 45 degrees orthogonal to the no-discrimination line - the balance point where Sensitivity = Specificity the intercept of the ROC curve with the tangent at 45 degrees parallel to the no-discrimination line that is closest to the error-free point (0,1) – also called Youden's J statistic and generalized as Informedness the area between the ROC curve and the no-discrimination line multiplied by two is called the Gini coefficient, especially in the context of credit scoring. It should not be confused with the measure of statistical dispersion also called Gini coefficient. the area between the full ROC curve and the triangular ROC curve including only (0,0), (1,1) and one selected operating point – Consistency the area under the ROC curve, or "AUC" ("area under curve"), or A' (pronounced "a-prime"), or "c-statistic" ("concordance statistic").