AucDiff: Calculate difference between areas under the ROC curve (AUC) between a forecast and a reference forecast for the same observation, and estimate the variance of the AUC difference
Description
Calculate difference between areas under the ROC curve (AUC) between a forecast and a reference forecast for the same observation, and estimate the variance of the AUC difference
vector of binary observations (0 for non-occurrence, 1 for occurrence of the event)
handle.na
how should missing values in forecasts and observations be handled; possible values are 'na.fail' and 'only.complete.triplets'; default: 'na.fail'
use_fn
the function used for the calculation: 'C++' (default) for the fast C++ implementation, or 'R' for the slow (but more readable) R implementation
Value
vector with AUC difference, and estimated standard deviation
References
DeLong et al (1988): Comparing the Areas under Two or More Correlated Receiver Operating Characteristic Curves: A Nonparametric Approach. Biometrics. https://www.jstor.org/stable/2531595
Sun and Xu (2014): Fast Implementation of DeLong's Algorithm for Comparing the Areas Under Correlated Receiver Operating Characteristic Curves. IEEE Sign Proc Let 21(11). 10.1109/LSP.2014.2337313