A Python implementation of an algorithm for computing the statistical significance of comparing two sets of predictions by ROC AUC. Also can compute variance of a single ROC AUC estimate. X. Sun and W. Xu, "Fast Implementation of DeLong’s Algorithm for Comparing the Areas Under Correlated Receiver Operating Characteristic Curves," in IEEE Signal Processing Letters, vol. 21, no. 11, pp. 1389-1393, Nov. 2014, doi: 10.1109/LSP.2014.2337313.
yandexdataschool / roc_comparison
Licence: MIT license
The fast version of DeLong's method for computing the covariance of unadjusted AUC.
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