Robust performance metrics for imbalanced classification problems
Fuente:
arXiv
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Preprint |
| Veröffentlicht: |
2024
|
| Schlagworte: | |
| Online-Zugang: | |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| _version_ | 1866913310252728320 |
|---|---|
| author | Holzmann, Hajo Klar, Bernhard |
| author_facet | Holzmann, Hajo Klar, Bernhard |
| contents | We show that established performance metrics in binary classification, such as the F-score, the Jaccard similarity coefficient or Matthews' correlation coefficient (MCC), are not robust to class imbalance in the sense that if the proportion of the minority class tends to $0$, the true positive rate (TPR) of the Bayes classifier under these metrics tends to $0$ as well. Thus, in imbalanced classification problems, these metrics favour classifiers which ignore the minority class. To alleviate this issue we introduce robust modifications of the F-score and the MCC for which, even in strongly imbalanced settings, the TPR is bounded away from $0$. We numerically illustrate the behaviour of the various performance metrics in simulations as well as on a credit default data set. We also discuss connections to the ROC and precision-recall curves and give recommendations on how to combine their usage with performance metrics. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2404_07661 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Robust performance metrics for imbalanced classification problems Holzmann, Hajo Klar, Bernhard Machine Learning Methodology We show that established performance metrics in binary classification, such as the F-score, the Jaccard similarity coefficient or Matthews' correlation coefficient (MCC), are not robust to class imbalance in the sense that if the proportion of the minority class tends to $0$, the true positive rate (TPR) of the Bayes classifier under these metrics tends to $0$ as well. Thus, in imbalanced classification problems, these metrics favour classifiers which ignore the minority class. To alleviate this issue we introduce robust modifications of the F-score and the MCC for which, even in strongly imbalanced settings, the TPR is bounded away from $0$. We numerically illustrate the behaviour of the various performance metrics in simulations as well as on a credit default data set. We also discuss connections to the ROC and precision-recall curves and give recommendations on how to combine their usage with performance metrics. |
| title | Robust performance metrics for imbalanced classification problems |
| topic | Machine Learning Methodology |
| url | https://arxiv.org/abs/2404.07661 |