Confidence Bands for ROC Curves With Serially Dependent Data.
Journal of Business & Economic Statistics Lahiri, Kajal*, and Liu Yang. Abstract We propose serial correlation-robust asymptotic confidence bands for the receiver operating characteristic (ROC) curve and its functional, viz., the area under ROC curve (AUC), estimated by quasi-maximum likelihood in the binormal model. Our simulation experiments confirm that this new method performs fairly well [...]