Table 7 Results of the estimated AUC-ROC using “Give Me Some Credit” dataset
Logit | Lasso | CART | Random forest | XGBoost | MLP | |
|---|---|---|---|---|---|---|
AUC-ROC | 80% | 80.2% | 80.4% | 84.2% | 85.3% | 81.7% |
AUC-ROC 95% interval | 79.3% 80.7% | 79.6% 80.8% | 79.7% 81.2% | 83.7% 84.8% | 84.8% 85.8% | 81% 82.3% |
AUC-ROC (difference with logit) | – | 0.2% | 0.4% | 4.2% | 5.3% | 1.7% |