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**Background**

AUC is an important metric in machine learning for classification. It is often used as a measure of a model’s performance. In effect, AUC is a measure between 0 and 1 of a model’s performance that rank-orders predictions from a model. For a detailed explanation of AUC, see this link.

Since AUC is widely used, being able to get a confidence interval around this metric is valuable to both better demonstrate a model’s performance, as well as to better compare two or more models. For example, if model A has an AUC higher than model B, but the 95% confidence interval around each AUC value overlaps, then the models may not be statistically different in performance. We can get a confidence interval around AUC using R’s **pROC** package, which uses bootstrapping to calculate the interval.

**Building a simple model to test**

To demonstrate how to get an AUC confidence interval, let’s build a model using a movies dataset from Kaggle (you can get the data here).

**Reading in the data**

# load packages library(pROC) library(dplyr) library(randomForest) # read in dataset movies <- read.csv("movie_metadata.csv") # remove records with missing budget / gross data movies <- movies %>% filter(!is.na(budget) & !is.na(gross))

**Split into train / test**

Next, let’s randomly select 70% of the records to be in the training set and leave the rest for testing.

# get random sample of rows set.seed(0) train_rows <- sample(1:nrow(movies), .7 * nrow(movies)) # split data into train / test train_data <- movies[train_rows,] test_data <- movies[-train_rows,] # select only fields we need train_need <- train_data %>% select(gross, duration, director_facebook_likes, budget, imdb_score, content_rating, movie_title) test_need <- test_data %>% select(gross, duration, director_facebook_likes, budget, imdb_score, content_rating, movie_title)

**Create the label**

Lastly, we need to create our label i.e. what we’re trying to predict. Here, we’re going to predict if a movie’s gross beats its budget (1 if so, 0 if not).

train_need$beat_budget <- as.factor(ifelse(train_need$gross > train_need$budget, 1, 0)) test_need$beat_budget <- as.factor(ifelse(test_need$gross > test_need$budget, 1, 0))

**Train a random forest**

Now, let’s train a simple random forest model with just 50 trees.

# train a random forest forest <- randomForest(beat_budget ~ duration + director_facebook_likes + budget + imdb_score + content_rating, train_need, ntree = 50, na.omit = TRUE)

**Getting an AUC confidence interval**

Next, let’s use our model to get predictions on the test set.

test_pred <- predict(forest, test_need, type = "prob")[,2]

And now, we’re reading to get our confidence interval! We can do that in just one line of code using the *ci.auc* function from **pROC**. By default, this function uses 2000 bootstraps to calculate a 95% confidence interval. This means our 95% confidence interval for the AUC on the test set is between 0.6198 and 0.6822, as can be seen below.

ci.auc(test_need$beat_budget, test_pred) # 95% CI: 0.6198-0.6822 (DeLong)

We can adjust the confidence interval using the *conf.level* parameter:

ci.auc(test_need$beat_budget, test_pred, conf.level = 0.9) # 90% CI: 0.6248-0.6772 (DeLong)

That’s it for this post! Please click here to follow this blog on Twitter!

See here to learn more about the **pROC** package.

The post How to get an AUC confidence interval appeared first on Open Source Automation.

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