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[Review] The Relationship Between Precision-Recall and ROC Curves

This is the first post of the series on "Statistics ❤️AI", in which I will be reviewing papers, ideas, advancement about statistical methods for evaluating, understanding, and interpreting AI algorithms.


Summary:

  • When the number of negative examples greatly exceeds the number of positives examples, precision-recall (PR) curves give a more informative picture of an algorithm’s performance

  • For a given dataset of positive and negative examples, there exists a one-to-one correspondence between a curve in ROC space and a curve in PR space, such that the curves contain exactly the same confusion matrices, if Recall != 0

  • For a fixed number of positive and negative examples, one curve dominates a second curve in ROC space if and only if the first dominates the second in Precision-Recall space

  • Given a set of points in PR space, there exists an achievable PR curve that dominates the other valid curves that could be constructed with these points

  • It would be methodologically incorrect to construct a convex hull or achievable PR curve by looking at performance on the test data and then constructing a convex hull

  • As the level of Recall varies, the Precision does not necessarily change linearly due to the fact that FP replaces F N in the denominator of the Precision metric. Linear interpolation is a mistake that yields an overly-optimistic estimate of performance

  • Algorithms that optimize the area under the ROC curve are not guaranteed to optimize the area under the PR curve.



Reference:

Davis et al, The Relationship Between Precision-Recall and ROC Curves

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