boottol: Bootstrap Percentile Confidence Intervals.

In boottol: Bootstrap Tolerance Levels for Credit Scoring Validation Statistics

Description

Creates 100(1-alpha) percent bootstrap percentile confidence intervals around the KS, AUROC, and Gini statistics.

Usage

boottol(score, target, bootsamp, lltml, grp, alpha)

Arguments

score	- The score groupings.
target	- The binary target variable.
bootsamp	- How many bootstrap samples to be computed. When bootsamp is too low, a warning will be produced.
lltml	- If the score is rank ordered least likely to most likely then set equal to 1.
grp	- An integer value of how the scores are grouped.
alpha	- Confidence level.

References

[1] Anderson, R., “The Credit Scoring Toolkit Theory and Practice for Retail Credit Risk Management and Decision Automation," Oxford University Press, Oxford, NY, 2007.

Examples

data("data")
## Not run: tol.level=boottol(score=data$Score,target=data$Target
,bootsamp=2000,lltml=1,grp=10, alpha=0.99)
## End(Not run)

boottol documentation built on May 1, 2019, 9:26 p.m.