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How to implement weighted AUC in RM
I am currently testing 5 different models that are trying to correctly classify a binary classification problem with an imbalanced dataset. The costs of misclassification are slightly different.
To select the best of the 5 models that I built I want to implement weighted AUC, but I don't know what is the operator that should use to draw an set up the weighted AUCs in RM. Could you please help me?
Thanks in advance.