PDtoolkit (version 1.2.0)

cutoff.palette: Palette of cutoff values that minimize and maximize metrics from the confusion matrix

Description

cutoff.palette returns confusion matrix along with accompanied performance metrics.

Usage

cutoff.palette(predictions, observed, min.pct.obs = 0.05, min.pct.def = 0.01)

Value

The command cutoff.palette returns data frame with minimum and maximum values of each confusion matrix metric along with optimized cutoff itself.

Arguments

predictions

Model predictions.

observed

Observed values of target variable.

min.pct.obs

Minimum percentage of observations. Used to select boundaries of cutoff values. Default value is 0.05.

min.pct.def

Minimum percentage of default. Used to select boundaries of cutoff values. Default value is 0.01.

Examples

suppressMessages(library(PDtoolkit))
data(loans)
#identify numeric risk factors
num.rf <- sapply(loans, is.numeric)
num.rf <- names(num.rf)[!names(num.rf)%in%"Creditability" & num.rf]
#discretized numeric risk factors using mdt.bin from monobin package
loans[, num.rf] <- sapply(num.rf, function(x) 
			  mdt.bin(x = loans[, x], y = loans[, "Creditability"])[[2]])
str(loans)
res <- stepFWD(start.model = Creditability ~ 1, 
   p.value = 0.05, 
   coding = "WoE",
   db = loans)
#run cutoff optimization
cop <- cutoff.palette(predictions = predict(res$model, type = "response"), 
			observed = loans$"Creditability",
			min.pct.obs = 0.05, 
			min.pct.def = 0.01)
cop
confusion.matrix(predictions = predict(res$model, type = "response"), 
	     observed = loans$"Creditability",
	     cutoff = cop$cutoff.max[cop$metric%in%"f1.score"])