BUG?; Why do I get conflicting preformance measures in my Logistic Regression?

Atabarezz

I attached a sample workflow where;

1. I load a sample dataset (german credit in the regression sample)
2. Calculate Yes/No, ratio of defaults
3. Split estimation and validation samples
4. Trained logistic model on estimation sample
5. Checked performance measures thru estimation sample running Lift Chart Tool and Model Comparison Tool
   
6. Then check performance measures thru validation sample for proper measure again using both Lift Chart Tool and Model Comparison Tool...

This is the workflow;

Here is the lift curve for estimation sample, AUC is 0,69, Gini is 0,395 (2AUC-1=GINI should be 0,38 by the way hmm a minor mismatch)

Something awkward happened and Model comparison gave us AUC=0.8867 not the above 0,690777

Here is the lift curve for validation sample this time, AUC is 0,656, Gini is 0,314 (2AUC-1=GINI should be 0,312 a minor mismatch again but OK)

Second awkward thing happened and Model comparison gave us AUC=0.8221 for validation sample not the above 0,656522!!!

So which one is true?

• measures from Lift Tool
• or measures from Model Validation Tool

#logistic #regression #liftchart #modelcomparison #AUC #Gini

CristonS

hi @Atabarezz

Cumulative captured response (Lift Chart) and ROC (Model Comparison) curves are not based on the same metrics, and handle data differently. The cumulative captured response curve works with decile level aggregates, while the ROC curve works with individual records. As a result, the results should not be identical across the two curves.

Please let me know if you have further questions, thanks!