[R] Logistic Regression - Interpreting SENS (Sensitivity) and SPEC (Specificity)

[Dieter Menne]

Maithili Shiva <maithili_shiva <at> yahoo.com> writes:

> I havd main sample of 42500 clentes and
> based on their status as regards to defaulted / non - defaulted, I have
genereted the probability of default.
> 
> I have a hold out sample of 5000 clients. I have calculated (1) No of
correctly classified goods Gg, (2) No of
> correcly classified Bads Bg and also (3) number of wrongly classified bads
(Gb) and (4) number of wrongly
> classified goods (Bg).

The simple and wrong answer is to use these data directly to compute sensitivity
(fraction of hits). This measure is useless, but I encounter it often in medical
publications.

You can get a more reasonable answer by using cross-validation. Check, for
example, Frank Harrell's 

http://biostat.mc.vanderbilt.edu/twiki/pub/Main/RmS/logistic.val.pdf

Dieter