[R] Performance measure for probabilistic predictions
Noah Silverman
noah at smartmediacorp.com
Wed Aug 19 10:04:25 CEST 2009
Hello,
I'm using an SVM for predicting a model, but I'm most interested in the
probability output. This is easy enough to calculate.
My challenge is how to measure the relative performance of the SVM for
different settings/parameters/etc.
An AUC curve comes to mind, but I'm NOT interested in predicting true vs
false. I am interested in finding the most accurate probability
predictions possible.
I've seen some literature where the probability range is cut into
segments and then the predicted probability is compared to the actual.
This looks nice, but I need a more tangible numeric measure. One
thought was a measure of "probability accuracy" for each range, but how
to calculate this.
Any thoughts?
-N
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