The cross-validated AUC for MCP-logistic regression with high-dimensional data.

We propose a cross-validated area under the receiving operator characteristic (ROC) curve (CV-AUC) criterion for tuning parameter selection for penalized methods in sparse, high-dimensional logistic regression models. We use this criterion in combination with the minimax concave penalty (MCP) method for variable selection. The CV-AUC criterion is… CONTINUE READING