[R] How to calculate the area under the curve

[Frank E Harrell Jr]

I'm not clear on why we are emphasizing the trapezoidal rule when the 
Wilcoxon approach gives you everything plus a standard error.

Frank


Ravi Varadhan wrote:
> I assume that you have an ordered pair (x, y) data, where x = sensitivity, and y = 1 - specificity.  Your `x' values may or may not be equally spaced.  Here is how you could solve your problem.  I show this with an example where we can compute the area-under the curve exactly:
> 
> # Area under the curve
> #
> # Trapezoidal rule
> # x values need not be equally spaced
> #
> trapezoid <- function(x,y) sum(diff(x)*(y[-1]+y[-length(y)]))/2
> #
> #
> # Simpson's rule when `n' is odd
> # Composite Simpson and Trapezoidal rules when `n' is even
> # x values must be equally spaced
> #
> simpson <- function(x, y){
> n <- length(y)
> odd <- n %% 2
> if (odd) area <- 1/3*sum( y[1] + 2*sum(y[seq(3,(n-2),by=2)]) + 
> 	4*sum(y[seq(2,(n-1),by=2)]) + y[n])
> 
> if (!odd) area <- 1/3*sum( y[1] + 2*sum(y[seq(3,(n-3),by=2)]) + 
> 	4*sum(y[seq(2,(n-2),by=2)]) + y[n-1]) + 1/2*(y[n-1] + y[n])
> 
> dx <- x[2] - x[1]
> return(area * dx)
> }
> #
> # An example for AUC calculation
> x <- seq(0, 1, length=21)
> 
> roc <- function(x, a) x + a * x * (1 - x)
> 
> plot(x, roc(x, a=0.5), type="l")
> lines(x, roc(x, a=0.8), col=2)
> lines(x, roc(x, a=1.2), col=3)
> abline(b=1, lty=2)
> 
> y <- roc(x, a=1)
> 
> trapezoid(x, y)  # exact answer is 2/3
> 
> simpson(x, y) # exact answer is 2/3
> 
> As you can see the Simpson's rule is more accurate, but the difference should not matter in applications, as long as you have sufficient number of points for sensitivity and specificity.  Also, note that the improved accuracy of Simpson's rule is more fully realized when there are "odd" number of `x' values.  If the number of points is even, the trapezoidal rule at the end point degrades the accuracy of Simpson approximation.
> 
> Hope this helps,
> Ravi.
> 
> ____________________________________________________________________
> 
> Ravi Varadhan, Ph.D.
> Assistant Professor,
> Division of Geriatric Medicine and Gerontology
> School of Medicine
> Johns Hopkins University
> 
> Ph. (410) 502-2619
> email: rvaradhan at jhmi.edu
> 
> 
> ----- Original Message -----
> From: "olivier.abz" <0509785 at rgu.ac.uk>
> Date: Thursday, October 22, 2009 10:24 am
> Subject: [R]  How to calculate the area under the curve
> To: r-help at r-project.org
> 
> 
>> Hi all, 
>>
>> I would like to calculate the area under the ROC curve for my predictive
>> model. I have managed to plot points giving me the ROC curve. However, 
>> I do
>> not know how to get the value of the area under. 
>> Does anybody know of a function that would give the result I want 
>> using an
>> array of specificity and an array of sensitivity as input?
>>
>> Thanks, 
>>
>> Olivier
>> -- 
>> View this message in context: 
>> Sent from the R help mailing list archive at Nabble.com.
>>
>> ______________________________________________
>> R-help at r-project.org mailing list
>>
>> PLEASE do read the posting guide 
>> and provide commented, minimal, self-contained, reproducible code.
> 
> ______________________________________________
> R-help at r-project.org mailing list
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> and provide commented, minimal, self-contained, reproducible code.
> 


-- 
Frank E Harrell Jr   Professor and Chair           School of Medicine
                      Department of Biostatistics   Vanderbilt University