ROC and the bounds on tail probabilities via theorems of Dubins and F. Riesz

Clarkson, Eric; Denny, J. L.; Shepp, Larry

ROC and the bounds on tail probabilities via theorems of Dubins and F. Riesz

Authors

Clarkson, Eric

Denny, J. L.

Shepp, Larry

Description

For independent $X$ and $Y$ in the inequality $P(X\leq Y+μ)$, we give sharp lower bounds for unimodal distributions having finite variance, and sharp upper bounds assuming symmetric densities bounded by a finite constant. The lower bounds depend on a result of Dubins about extreme points and the upper bounds depend on a symmetric rearrangement theorem of F. Riesz. The inequality was motivated by medical imaging: find bounds on the area under the Receiver Operating Characteristic curve (ROC).
Published in at http://dx.doi.org/10.1214/08-AAP536 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)