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逢考必过过过过过过 · 2022年05月29日

问一道题:NO.PZ2021083101000008 [ CFA II ]

问题如下:

Azarov requests that Bector apply the ML model to the test dataset for Dataset XYZ, assuming a threshold p-value of 0.65. Exhibit 2 contains a sample of results from the test dataset corpus.

Based on Exhibit 2, the accuracy metric for Dataset XYZ’s test set sample is closest to:

选项:

A.

0.67

B.

0.70

C.

0.75

解释:

B is correct.

Accuracy is the percentage of correctly predicted classes out of total predictions and is calculated as (TP + TN)/(TP + FP + TN + FN).

In order to obtain the values for true positive (TP), true negative (TN), false positive (FP), and false negative (FN), predicted sentiment for the positive (Class “1”) and the negative (Class “0”) classes are determined based on whether each individual target p-value is greater than or less than the threshold p-value of 0.65. If an individual target p-value is greater than the threshold p-value of 0.65, the predicted sentiment for that instance is positive (Class “1”). If an individual target p-value is less than the threshold p-value of 0.65, the predicted sentiment for that instance is negative (Class “0”). Actual sentiment and predicted sentiment are then classified as follows:

Exhibit 2, with added “Predicted Sentiment” and “Classification” columns, is presented below:

Based on the classification data obtained from Exhibit 2, a confusion matrix can be generated:

Using the data in the confusion matrix above, the accuracy metric is computed as follows:

Accuracy = (TP + TN)/(TP + FP + TN + FN).

Accuracy = (3 + 4)/(3 + 1 + 4 + 2) = 0.70.

A is incorrect because 0.67 is the F1 score, not accuracy metric, for the sample of the test set for Dataset XYZ, based on Exhibit 2. To calculate the F1 score, the precision (P) and the recall (R) ratios must first be calculated. Precision and recall for the sample of the test set for Dataset XYZ, based on Exhibit 2, are calculated as follows:

Precision (P) = TP/(TP + FP) = 3/(3 + 1) = 0.75.

Recall (R) = TP/(TP + FN) = 3/(3 + 2) = 0.60.

The F1 score is calculated as follows:

F1 score = (2 × P × R)/(P + R) = (2 × 0.75 × 0.60)/(0.75 + 0.60) = 0.667, or 0.67.

C is incorrect because 0.75 is the precision ratio, not the accuracy metric, for the sample of the test set for Dataset XYZ, based on Exhibit 2. The precision score is calculated as follows:

Precision (P) = TP/(TP + FP) = 3/(3 + 1) = 0.75.

考点:Model Training - Performance Evaluation

老师好,我还是没看明白怎么从比较p确定的TP,可否举个例子? 另外。。。。我已经发现几个题目的图片在移动终端都不能显示。。。。。还不是网速问题,能不能给修正一下?
1 个答案

星星_品职助教 · 2022年05月31日

同学你好,

题目涉及到threshold p-value,说明使用的是Y为dummy variable的回归方程(实际是logistic regression)

该方程求得的Y是一个概率,但最终的Y只能从0或1中选择,所以就要将求得的概率与threshold P-value作比较。如果结果比这个临界值概率大,就将Y赋值为1(positive),反之赋值为0(negative).

据此,根据Exhibit 2给出的p-value和题干给出的threshold 0.65,可以得出预测值(predicted sentiment)这一列。

根据预测值和真实值(actual sentiment)这一列进行对比,可以写出classification这一列,即得到TP(predict的是1,actual的也是1,其余以此类推),TN,FN,FP四者。

然后代入到Accuracy = (TP + TN)/(TP + FP + TN + FN)这个公式里,即可以求得“the accuracy metric”

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