THIS IS A COMPLETE NOTE FROM ALL BOOKS + LECTURE!
Save your time for internships, other courses by studying over this note!
Are you a 1st/2nd year of Business Analytics Management student at RSM, who want to survive the block 2 Machine Learning module? Are you overwhelmed with 30 pages of re...
4.4.2: Linear Discriminant analysis for p>1
Positive class: the one we care most about predicting
Two types of prediction in prediction
1. Soft prediction : phat = Pr(in pos.class) : expected value between 0 and 1.
a. Soft prediction is more fundamental: hard prediction is done from the
result of soft prediction.
2. Hard prediction: a particular class predicted by comparing the soft prediction phat
to a threshold value
a. hard prediction heavily depends on the decision threshold
Classification metrics
Binary classifier’s error types
1. False positive (e.g., individual who does not defaults to the default)
2. False negative (e.g., individual who defaults to the no default)
Confusion matrix address the interest of displaying the information of which of these
two types of errors are made.
Despite that the overall accuracy might be satisfactory, individual error for FP/FN could
be unacceptably high.
Statistics that reflects the precision and recall :
F1 : harmonic mean of precision and recall
FM : geometric mean of precision and recall.
They both ignore true negatives. : if there is class imbalance, they depend on the positive
cases, so might perform worse in some cases.
Alternatives: correlation coefficients
Correlation between true and predicted class :
Correlation does not explicitly measure prediction accuracy. It only captures
the strength and direction of a linear relationship.
Cohen’s K: 0 is hit when you expect that TN and TP are at the same rate as chance.
, Comparisons of the 4 metrics
Class-specific performance
Sensitivity /recall/TPR : Percentage of true positive that are predicted as positive.
Specificity / True negative rate: Percentage of true negatives that are predicted as
negative.
Precision/Positive predicted value : different from the first two. Proportion of the
positive classified items that are actually positive.
When they are used as pairs…
Precision + recall is useful when the focus is on the positive class
(they ignore TN) ; it does not directly assess predictions for the
negative class.
Recall + specificity treats both positives and negatives as important.
The Bayes classifier works by assigning an observation to the class for which the
posterior probability pk(X) is greatest
- In binary classifier, a value will be assigned to the positive class if
Pr(positive = yes |X=x) >0.5
- This threshold is adjustable.
o Tidymodel uses the default of 0.5 and it is hard to adjust the value
The Bayes classifier will yield the smallest possible total number of misclassified
observations, regardless of the class from which the errors stem.
Thresholds and class imbalance
There is a trade off between the TP and TN, and FP and FN, depends on the threshold
value for the confusion matrix.
By varying the decision threshold, we determine the elements of the confusion matrix.
- The lower the threshold, the more observations classified to the positive class.
The benefits of buying summaries with Stuvia:
Guaranteed quality through customer reviews
Stuvia customers have reviewed more than 700,000 summaries. This how you know that you are buying the best documents.
Quick and easy check-out
You can quickly pay through EFT, credit card or Stuvia-credit for the summaries. There is no membership needed.
Focus on what matters
Your fellow students write the study notes themselves, which is why the documents are always reliable and up-to-date. This ensures you quickly get to the core!
Frequently asked questions
What do I get when I buy this document?
You get a PDF, available immediately after your purchase. The purchased document is accessible anytime, anywhere and indefinitely through your profile.
Satisfaction guarantee: how does it work?
Our satisfaction guarantee ensures that you always find a study document that suits you well. You fill out a form, and our customer service team takes care of the rest.
Who am I buying this summary from?
Stuvia is a marketplace, so you are not buying this document from us, but from seller ArisMaya. Stuvia facilitates payment to the seller.
Will I be stuck with a subscription?
No, you only buy this summary for R256,30. You're not tied to anything after your purchase.
