论文标题

最佳接收器操作特性曲线的最大似然估计值观察结果

Maximum Likelihood Estimation of Optimal Receiver Operating Characteristic Curves from Likelihood Ratio Observations

论文作者

Hajek, Bruce, Kang, Xiaohan

论文摘要

最佳接收器操作特性(ROC)曲线给出了最大检测概率作为错误警报概率的函数,是二进制假设测试问题(BHT)难度的关键信息理论指标。众所周知,给定BHT的最佳ROC曲线,对应于似然比检验,由两个假设中的每个假设中观察到的数据的概率分布确定。在某些情况下,这两个分布可能是未知或计算棘手的,但是可以观察到类似性比的独立样本。这就提出了估计此类样本中BHT最佳ROC的问题。得出了最佳ROC曲线的最大似然估计量,并且显示出肯定会收敛到\ Levy \ Metric中真正的最佳ROC曲线,因为观察量倾向于无穷大。对于其他三个估计量,获得了有限的样本量界限:经典的经验估计器,基于从两组单独的样本集中估算两种类型的误差概率,分别分别称为Split估计器和融合估计器的最大似然估计器的两个变化。在模拟实验中观察到最大似然估计量比经验估计量要准确得多,尤其是当两个假设之一下的样品数量较小时。最大似然估计量下的面积被得出;它是对真正最佳ROC曲线下面积的一致估计器。

The optimal receiver operating characteristic (ROC) curve, giving the maximum probability of detection as a function of the probability of false alarm, is a key information-theoretic indicator of the difficulty of a binary hypothesis testing problem (BHT). It is well known that the optimal ROC curve for a given BHT, corresponding to the likelihood ratio test, is determined by the probability distribution of the observed data under each of the two hypotheses. In some cases, these two distributions may be unknown or computationally intractable, but independent samples of the likelihood ratio can be observed. This raises the problem of estimating the optimal ROC for a BHT from such samples. The maximum likelihood estimator of the optimal ROC curve is derived, and it is shown to converge almost surely to the true optimal ROC curve in the \levy\ metric, as the number of observations tends to infinity. Finite sample size bounds are obtained for three other estimators: the classical empirical estimator, based on estimating the two types of error probabilities from two separate sets of samples, and two variations of the maximum likelihood estimator called the split estimator and fused estimator, respectively. The maximum likelihood estimator is observed in simulation experiments to be considerably more accurate than the empirical estimator, especially when the number of samples obtained under one of the two hypotheses is small. The area under the maximum likelihood estimator is derived; it is a consistent estimator of the area under the true optimal ROC curve.

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