Receiver operating characteristic

A receiver operating characteristic curve, or ROC curve, is a graphical plot that illustrates the performance of a binary classifier model (can be used for multi class classification as well) at varying threshold values.

Terminology and derivations
from a confusion matrix
condition positive (P) the number of real positive cases in the data condition negative (N) the number of real negative cases in the data true positive (TP) A test result that correctly indicates the presence of a condition or characteristic true negative (TN) A test result that correctly indicates the absence of a condition or characteristic false positive (FP), Type I error A test result which wrongly indicates that a particular condition or attribute is present false negative (FN), Type II error A test result which wrongly indicates that a particular condition or attribute is absent sensitivity, recall, hit rate, or true positive rate (TPR) $\mathrm {TPR} ={\frac {\mathrm {TP} }{\mathrm {P} }}={\frac {\mathrm {TP} }{\mathrm {TP} +\mathrm {FN} }}=1-\mathrm {FNR}$ specificity, selectivity or true negative rate (TNR) $\mathrm {TNR} ={\frac {\mathrm {TN} }{\mathrm {N} }}={\frac {\mathrm {TN} }{\mathrm {TN} +\mathrm {FP} }}=1-\mathrm {FPR}$ precision or positive predictive value (PPV) $\mathrm {PPV} ={\frac {\mathrm {TP} }{\mathrm {TP} +\mathrm {FP} }}=1-\mathrm {FDR}$ negative predictive value (NPV) $\mathrm {NPV} ={\frac {\mathrm {TN} }{\mathrm {TN} +\mathrm {FN} }}=1-\mathrm {FOR}$ miss rate or false negative rate (FNR) $\mathrm {FNR} ={\frac {\mathrm {FN} }{\mathrm {P} }}={\frac {\mathrm {FN} }{\mathrm {FN} +\mathrm {TP} }}=1-\mathrm {TPR}$ fall-out or false positive rate (FPR) $\mathrm {FPR} ={\frac {\mathrm {FP} }{\mathrm {N} }}={\frac {\mathrm {FP} }{\mathrm {FP} +\mathrm {TN} }}=1-\mathrm {TNR}$ false discovery rate (FDR) $\mathrm {FDR} ={\frac {\mathrm {FP} }{\mathrm {FP} +\mathrm {TP} }}=1-\mathrm {PPV}$ false omission rate (FOR) $\mathrm {FOR} ={\frac {\mathrm {FN} }{\mathrm {FN} +\mathrm {TN} }}=1-\mathrm {NPV}$ Positive likelihood ratio (LR+) $\mathrm {LR+} ={\frac {\mathrm {TPR} }{\mathrm {FPR} }}$ Negative likelihood ratio (LR-) $\mathrm {LR-} ={\frac {\mathrm {FNR} }{\mathrm {TNR} }}$ prevalence threshold (PT) $\mathrm {PT} ={\frac {\sqrt {\mathrm {FPR} }}{{\sqrt {\mathrm {TPR} }}+{\sqrt {\mathrm {FPR} }}}}$ threat score (TS) or critical success index (CSI) $\mathrm {TS} ={\frac {\mathrm {TP} }{\mathrm {TP} +\mathrm {FN} +\mathrm {FP} }}$ Prevalence ${\frac {\mathrm {P} }{\mathrm {P} +\mathrm {N} }}$ accuracy (ACC) $\mathrm {ACC} ={\frac {\mathrm {TP} +\mathrm {TN} }{\mathrm {P} +\mathrm {N} }}={\frac {\mathrm {TP} +\mathrm {TN} }{\mathrm {TP} +\mathrm {TN} +\mathrm {FP} +\mathrm {FN} }}$ balanced accuracy (BA) $\mathrm {BA} ={\frac {\mathrm {TPR} +\mathrm {TNR} }{2}}$ F1 score is the harmonic mean of precision and sensitivity: $\mathrm {F} _{1}=2\times {\frac {\mathrm {PPV} \times \mathrm {TPR} }{\mathrm {PPV} +\mathrm {TPR} }}={\frac {2\mathrm {TP} }{2\mathrm {TP} +\mathrm {FP} +\mathrm {FN} }}$ phi coefficient (φ or r_φ) or Matthews correlation coefficient (MCC) $\mathrm {MCC} ={\frac {\mathrm {TP} \times \mathrm {TN} -\mathrm {FP} \times \mathrm {FN} }{\sqrt {(\mathrm {TP} +\mathrm {FP} )(\mathrm {TP} +\mathrm {FN} )(\mathrm {TN} +\mathrm {FP} )(\mathrm {TN} +\mathrm {FN} )}}}$ Fowlkes–Mallows index (FM) $\mathrm {FM} =\mathrm {{\sqrt {{\frac {TP}{TP+FP}}\times {\frac {TP}{TP+FN}}}}={\sqrt {PPV\times TPR}}}$ informedness or bookmaker informedness (BM) $\mathrm {BM} =\mathrm {TPR} +\mathrm {TNR} -1$ markedness (MK) or deltaP (Δp) $\mathrm {MK} =\mathrm {PPV} +\mathrm {NPV} -1$ Diagnostic odds ratio (DOR) $\mathrm {DOR} ={\frac {\mathrm {LR+} }{\mathrm {LR-} }}$ Sources: Fawcett (2006), Piryonesi and El-Diraby (2020), Powers (2011), Ting (2011), CAWCR, D. Chicco & G. Jurman (2020, 2021, 2023), Tharwat (2018). Balayla (2020)

The ROC curve is the plot of the true positive rate (TPR) against the false positive rate (FPR) at each threshold setting.

The ROC can also be thought of as a plot of the statistical power as a function of the Type I Error of the decision rule (when the performance is calculated from just a sample of the population, it can be thought of as estimators of these quantities). The ROC curve is thus the sensitivity or recall as a function of false positive rate.

Given the probability distributions for both true positive and false positive are known, the ROC curve is obtained as the cumulative distribution function (CDF, area under the probability distribution from $-\infty$ to the discrimination threshold) of the detection probability in the y-axis versus the CDF of the false positive probability on the x-axis.

ROC analysis provides tools to select possibly optimal models and to discard suboptimal ones independently from (and prior to specifying) the cost context or the class distribution. ROC analysis is related in a direct and natural way to cost/benefit analysis of diagnostic decision making.

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