Title: Performance measures for rare event targeting

Authors: Wenxue Huang; Yuanyi Pan; Jianhong Wu

Addresses: Department of Mathematics, Guangzhou University, Guangzhou, Guangdong 510006, China ' Department of Mathematics and Statistics, York University, Toronto, Ontario, M3J 1P3, Canada ' Department of Mathematics and Statistics, York University, Toronto, Ontario, M3J 1P3, Canada

Abstract: The Gini coefficient has been widely used to measure the performance of rare event targeting models. Although it is a good performance measure when the scores and hits are proportionally associated, it fails to address the possible non-linear distribution of targeting scores and neglects the importance of targeting cost. We propose two alternative generic indices from the business interest point of view, and we used two datasets from the industrial fields to test and compare the new and the old indices. A generalised form of the ideal performance measure to rare event targeting is presented and a family of similar indices is induced according to this generalisation.

Keywords: performance measures; rare events; Gini coefficient; integral form; rare event targeting; nonlinear distribution; targeting scores; targeting cost.

DOI: 10.1504/IJDATS.2014.062450

International Journal of Data Analysis Techniques and Strategies, 2014 Vol.6 No.2, pp.105 - 120

Available online: 08 Jun 2014 *

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