Model Assessment for Predictive Classification Models |
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Authors: | Silvia Figini Pierpaolo Uberti |
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Affiliation: | 1. Department of Statistics and Applied Economics , University of Pavia , Pavia, Italy silvia.figini@unipv.it;3. Department of Statistics and Applied Economics , University of Pavia , Pavia, Italy |
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Abstract: | In this article, we present a novel methodology to assess predictive models for a binary target. In our opinion, the main weakness of the criteria proposed in the literature is not to take the financial costs of a wrong decision into account. The objective of this article is to derive the optimal cut-off in predictive classification models and to improve model assessment on the basis of a general class of loss functions. We describe how our proposal performs in a real application on credit scoring. |
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Keywords: | Confusion matrix Loss function Model comparison Threshold criteria |
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