Modern Stochastics: Theory and Applications

The area under the receiver operating characteristic curve (AUC) is a suitable measure for the quality of classification algorithms. Here we use the theory of U-statistics in order to derive new confidence intervals for it. The new confidence intervals take into account that only the total sample size used to calculate the AUC can be controlled, while the number of members of the case group and the number of members of the control group are random. We show that the new confidence intervals can not only be used in order to evaluate the quality of the fitted model, but also to judge the quality of the classification algorithm itself. We would like to take this opportunity to show that two popular confidence intervals for the AUC, namely DeLong’s interval and the Mann–Whitney intervals due to Sen, coincide.