normalizedGini {glmtree}

Calculating the normalized Gini index

Description

This function calculates the Gini index of a classification rule outputting probabilities. It is a classical metric in the context of Credit Scoring. It is equal to 2 times the AUC (Area Under ROC Curve) minus 1.

Usage

normalizedGini(actual, predicted)

Arguments

actual

The numeric binary vector of the actual labels observed.

predicted

The vector of the probabilities predicted by the classification rule.

Value

The Gini index of the predicted probabilities as a single 'num'.

Author(s)

Adrien Ehrhardt

Examples

normalizedGini(c(1, 1, 1, 0, 0), c(0.7, 0.9, 0.5, 0.6, 0.3))