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| 1 | +--- |
| 2 | +author_profile: false |
| 3 | +categories: |
| 4 | +- Data Science |
| 5 | +- Machine Learning |
| 6 | +classes: wide |
| 7 | +date: '2019-12-30' |
| 8 | +excerpt: AUC-ROC and Gini are popular metrics for evaluating binary classifiers, but |
| 9 | + they can be misleading on imbalanced datasets. Discover why AUC-PR, with its focus |
| 10 | + on Precision and Recall, offers a better evaluation for handling rare events. |
| 11 | +header: |
| 12 | + image: /assets/images/data_science_8.jpg |
| 13 | + og_image: /assets/images/data_science_8.jpg |
| 14 | + overlay_image: /assets/images/data_science_8.jpg |
| 15 | + show_overlay_excerpt: false |
| 16 | + teaser: /assets/images/data_science_8.jpg |
| 17 | + twitter_image: /assets/images/data_science_8.jpg |
| 18 | +keywords: |
| 19 | +- Auc-pr |
| 20 | +- Precision-recall |
| 21 | +- Binary classifiers |
| 22 | +- Imbalanced data |
| 23 | +- Machine learning metrics |
| 24 | +seo_description: When evaluating binary classifiers on imbalanced datasets, AUC-PR |
| 25 | + is a more informative metric than AUC-ROC or Gini. Learn why Precision-Recall curves |
| 26 | + provide a clearer picture of model performance on rare events. |
| 27 | +seo_title: 'AUC-PR vs. AUC-ROC: Evaluating Classifiers on Imbalanced Data' |
| 28 | +seo_type: article |
| 29 | +summary: In this article, we explore why AUC-PR (Area Under Precision-Recall Curve) |
| 30 | + is a superior metric for evaluating binary classifiers on imbalanced datasets compared |
| 31 | + to AUC-ROC and Gini. We discuss how class imbalance distorts performance metrics |
| 32 | + and provide real-world examples of why Precision-Recall curves give a clearer understanding |
| 33 | + of model performance on rare events. |
| 34 | +tags: |
| 35 | +- Binary classifiers |
| 36 | +- Imbalanced data |
| 37 | +- Auc-pr |
| 38 | +- Precision-recall |
| 39 | +title: 'Evaluating Binary Classifiers on Imbalanced Datasets: Why AUC-PR Beats AUC-ROC |
| 40 | + and Gini' |
| 41 | +--- |
| 42 | + |
| 43 | +When working with binary classifiers, metrics like **AUC-ROC** and **Gini** have long been the default for evaluating model performance. These metrics offer a quick way to assess how well a model discriminates between two classes, typically a **positive class** (e.g., detecting fraud or predicting defaults) and a **negative class** (e.g., non-fraudulent or non-default cases). |
| 44 | + |
| 45 | +However, when dealing with **imbalanced datasets**, where one class is much more prevalent than the other, these metrics can **mislead** us into believing a model is better than it truly is. In such cases, **AUC-PR**—which focuses on **Precision** and **Recall**—offers a more meaningful evaluation of a model’s ability to handle rare events, providing a clearer picture of how the model performs on the **minority class**. |
| 46 | + |
| 47 | +In this article, we'll explore why **AUC-PR** (Area Under the Precision-Recall Curve) is more informative than **AUC-ROC** and **Gini** when evaluating models on imbalanced datasets. We’ll delve into why AUC-ROC often **overstates model performance**, and how AUC-PR shifts the focus to the model’s performance on the **positive class**, giving a more reliable assessment of how well it handles **imbalanced classes**. |
| 48 | + |
| 49 | +## The Challenges of Imbalanced Data |
| 50 | + |
| 51 | +Before diving into metrics, it’s important to understand the **challenges of imbalanced data**. In many real-world applications, the class distribution is highly skewed. For instance, in **fraud detection**, **medical diagnosis**, or **default prediction**, the positive class (e.g., fraudulent transactions, patients with a disease, or customers defaulting on loans) represents only a **tiny fraction** of the total cases. |
| 52 | + |
| 53 | +In these scenarios, models tend to **focus heavily on the majority class**, often leading to deceptive results. A model might show high accuracy by correctly identifying many **True Negatives** but fail to adequately detect the **True Positives**—the rare but critical cases. This is where traditional metrics like AUC-ROC and Gini can fall short. |
| 54 | + |
| 55 | +### Imbalanced Data Example: Fraud Detection |
| 56 | + |
| 57 | +Imagine you’re building a model to detect fraudulent transactions. Out of 100,000 transactions, only 500 are fraudulent. That’s a **0.5% positive class** and a **99.5% negative class**. A model that predicts **all transactions as non-fraudulent** would still achieve **99.5% accuracy**, despite **failing completely** to detect any fraud. |
| 58 | + |
| 59 | +While accuracy alone is clearly misleading, even metrics like **AUC-ROC** and **Gini**, which aim to balance True Positives and False Positives, can still provide an **inflated sense of performance**. This is because they take **True Negatives** into account, which, in imbalanced datasets, dominate the metric and obscure the model’s struggles with the positive class. |
| 60 | + |
| 61 | +## Why AUC-ROC and Gini Can Be Misleading |
| 62 | + |
| 63 | +The **AUC-ROC curve** (Area Under the Receiver Operating Characteristic Curve) is widely used to evaluate binary classifiers. It plots the **True Positive Rate** (TPR) against the **False Positive Rate** (FPR) at various classification thresholds. The **Gini coefficient** is closely related to AUC-ROC, as it is simply **2 * AUC-ROC - 1**. |
| 64 | + |
| 65 | +While AUC-ROC is effective for **balanced datasets**, it becomes problematic when applied to **imbalanced data**. Here’s why: |
| 66 | + |
| 67 | +### 1. **Over-Emphasis on True Negatives** |
| 68 | + |
| 69 | +The ROC curve incorporates the **True Negative Rate** (TNR), which means that a model can appear to perform well by simply classifying the majority of non-events (True Negatives) correctly. In imbalanced datasets, where the negative class is abundant, even a model with **poor performance on the positive class** can still achieve a high AUC-ROC score, giving a **false sense of effectiveness**. |
| 70 | + |
| 71 | +For example, a model that classifies all non-fraudulent transactions correctly while missing most fraudulent transactions will still show a **high AUC-ROC**. This is because the **False Positive Rate** (FPR) will remain low, and the **True Positive Rate** (TPR) can look decent even if many fraud cases are missed. |
| 72 | + |
| 73 | +### 2. **Sensitivity to Class Imbalance** |
| 74 | + |
| 75 | +In imbalanced datasets, the **majority class** dominates the calculation of the ROC curve. As a result, the metric often emphasizes performance on the negative class rather than the positive class. For highly skewed datasets, this can result in a **high AUC-ROC score**, even if the model is **failing** to correctly classify the minority class. |
| 76 | + |
| 77 | +For instance, if 95% of your dataset consists of **True Negatives**, a model that excels at classifying the negative class but performs poorly on the positive class can still produce a high **AUC-ROC** score. In this way, AUC-ROC can **overstate** how well your model is really doing when you care most about the positive class. |
| 78 | + |
| 79 | +## Why AUC-PR Is Better for Imbalanced Data |
| 80 | + |
| 81 | +When evaluating binary classifiers on imbalanced datasets, a better approach is to use the **AUC-PR curve** (Area Under the Precision-Recall Curve). The **Precision-Recall curve** plots **Precision** (the proportion of correctly predicted positive cases out of all predicted positive cases) against **Recall** (the proportion of actual positive cases that are correctly identified). |
| 82 | + |
| 83 | +### 1. **Focus on the Positive Class** |
| 84 | + |
| 85 | +The key advantage of **AUC-PR** is that it **focuses on the positive class**, without being distracted by the abundance of True Negatives. This is particularly important when dealing with **rare events**, where identifying the minority class (e.g., fraud, defaults, or disease) is the primary goal. |
| 86 | + |
| 87 | +**Precision** measures how many of the predicted positive cases are correct, and **Recall** measures how well the model identifies actual positive cases. Together, they provide a clearer picture of the model's performance when dealing with **imbalanced classes**. |
| 88 | + |
| 89 | +For example, in fraud detection, the **Precision-Recall curve** will give a more accurate sense of how well the model balances **finding fraud cases** (high Recall) with ensuring that **predicted fraud cases are actually fraudulent** (high Precision). |
| 90 | + |
| 91 | +### 2. **Ignoring True Negatives** |
| 92 | + |
| 93 | +One of the strengths of **AUC-PR** is that it **ignores True Negatives**—which are often overwhelmingly present in imbalanced datasets. This means that the model’s performance is evaluated **solely** on its ability to handle the positive class (the class of interest in most real-world applications). |
| 94 | + |
| 95 | +By ignoring True Negatives, the **Precision-Recall curve** gives a more direct view of the model’s performance on **rare events**, making it **far more suitable** for tasks like **fraud detection**, **default prediction**, or **medical diagnoses** where false positives and false negatives carry different risks and costs. |
| 96 | + |
| 97 | +## A Real-World Example: Comparing AUC-ROC and AUC-PR |
| 98 | + |
| 99 | +Let’s look at a real-world example to illustrate how AUC-PR offers a better assessment of model performance on imbalanced data. Imagine you’re building a classifier to predict loan defaults. |
| 100 | + |
| 101 | +### Step 1: Evaluating with AUC-ROC |
| 102 | + |
| 103 | +When you plot the **ROC curve**, you see that the model achieves a **high AUC-ROC score** of 0.92. Based on this, it might seem that the model is excellent at distinguishing between default and non-default cases. The **Gini coefficient**, calculated as **2 * AUC-ROC - 1**, is similarly high, suggesting strong model performance. |
| 104 | + |
| 105 | +### Step 2: Evaluating with AUC-PR |
| 106 | + |
| 107 | +Now, you turn to the **Precision-Recall curve** and find a different story. Although Recall is high (the model identifies most default cases), **Precision is much lower**, suggesting that many of the predicted defaults are actually **false positives**. This means that while the model is good at detecting defaults, it’s not as confident in its predictions. As a result, the **AUC-PR** score is significantly lower than the AUC-ROC score, reflecting the model’s **struggle with class imbalance**. |
| 108 | + |
| 109 | +### Step 3: What This Tells Us |
| 110 | + |
| 111 | +This discrepancy between AUC-ROC and AUC-PR tells us that while the model might appear to perform well overall (high AUC-ROC), its **actual performance** in identifying and confidently predicting defaults is **suboptimal** (low AUC-PR). In practice, this could lead to **incorrect predictions**, where too many non-default cases are classified as defaults, resulting in unnecessary interventions or loss of trust in the model. |
| 112 | + |
| 113 | +## Conclusion: Why AUC-PR Should Be Your Go-To for Imbalanced Data |
| 114 | + |
| 115 | +For **imbalanced datasets**, AUC-ROC and Gini can **mislead** you into thinking your model performs well when, in fact, it struggles with the **minority class**. Metrics like **AUC-PR** offer a more focused evaluation by prioritizing **Precision** and **Recall**—two critical metrics for rare events where misclassification can be costly. |
| 116 | + |
| 117 | +In practice, when evaluating models on tasks like **fraud detection**, **default prediction**, or **disease diagnosis**, where the positive class is rare but crucial, the **Precision-Recall curve** and **AUC-PR** give a more honest reflection of the model’s performance. While AUC-ROC might inflate the model's effectiveness by focusing on the majority class, AUC-PR shows how well the model **balances** Precision and Recall—two metrics that matter most in real-world applications where **rare events** have significant consequences. |
| 118 | + |
| 119 | +### Key Takeaways: |
| 120 | + |
| 121 | +- **AUC-ROC** and **Gini** are suitable for balanced datasets but can **overstate** model performance on imbalanced data. |
| 122 | +- **AUC-PR** focuses on the **positive class**, providing a clearer view of how well the model handles **rare events**. |
| 123 | +- When evaluating binary classifiers on **imbalanced datasets**, always consider using **AUC-PR** as it offers a more honest assessment of your model's strengths and weaknesses. |
| 124 | + |
| 125 | +In your next machine learning project, especially when handling imbalanced datasets, prioritize **AUC-PR** over AUC-ROC and Gini for a clearer, more accurate evaluation of your model’s ability to manage rare but critical events. |
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