Gary and Roger:
Thank you very much for your suggestions and help.
--
James
-----Original Message-----
From: Roger Newson [mailto:[email protected]]
Sent: Monday, July 14, 2003 4:35 PM
To: [email protected]
Subject: Re: st: Speed of ROC analysis
At 14:57 14/07/03 -0400, James Shaw wrote:
>Dear Statalist:
>
>Has anyone developed faster versions of roctab or roccomp (using DeLong et
>al.'s estimated standard errors)? The versions available in Stata 8 (as
>well as in earlier versions of Stata) run very slowly when used with large
>samples (e.g., 500-1000 observations). For example, in simulations I have
>been performing, it generally takes about 24 hours to complete 1000
>repetitions of roccomp in samples consisting of 1000 observations each. I
>suspect the problem is related to the fact that all possible pairwise
>comparisons are being made between scores for true-positive and
>true-negative subjects.
>
I think James's problem is indeed that the calculation of the ROC curve
uses loops over observations. This is definitely a problem with my
-somersd- package, downloadable from SSC, which calculates Somers' D, which
is related to the ROC area by the formula D=2A-1 (where D is Somers' D and
A is the ROC area). I plan in the long run to write a successor package to
-somersd- using plugins, but this is not expected to happen immediately. I
think ROC curve calculation might equally be improved by using plugins, but
I don't know if StataCorp plan to do this soon.
More about the -somersd- package, and its connection with ROC areas, can be
found in a Stata Journal article (Newson, 2002). A pre-publication draft of
this article can be downloaded from my website at
http://www.kcl-phs.org.uk/rogernewson
which is accessible either using a browser or using the Stata -net- command.
Roger
References
Newson R. Parameters behind "nonparametric" statistics: Kendall's tau,
Somers' D and median differences. The Stata Journal 2002; 2(1):45-64.
--
Roger Newson
Lecturer in Medical Statistics
Department of Public Health Sciences
King's College London
5th Floor, Capital House
42 Weston Street
London SE1 3QD
United Kingdom
Tel: 020 7848 6648 International +44 20 7848 6648
Fax: 020 7848 6620 International +44 20 7848 6620
or 020 7848 6605 International +44 20 7848 6605
Email: [email protected]
Website: http://www.kcl-phs.org.uk/rogernewson
Opinions expressed are those of the author, not the institution.
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