Sensitivity index
The sensitivity index or discriminability index or detectability index is a dimensionless statistic used in signal detection theory. A higher index indicates that the signal can be more readily detected.
Definition[]
The discriminability index is the separation between the means of two distributions (typically the signal and the noise distributions), in units of the standard deviation.
Equal variances/covariances[]
For two univariate distributions and with the same standard deviation, it is denoted by ('dee-prime'):
- .
In higher dimensions, i.e. with two multivariate distributions with the same variance-covariance matrix , (whose symmetric square-root, the standard deviation matrix, is ), this generalizes to the Mahalanobis distance between the two distributions:
- ,
where is the 1d slice of the sd along the unit vector through the means, i.e. the equals the along the 1d slice through the means.[1]
This is also estimated as [2][page needed].: 7
Unequal variances/covariances[]
When the two distributions have different standard deviations (or in general dimensions, different covariance matrices), there exist several contending indices, all of which reduce to for equal variance/covariance.
Bayes discriminability index[]
This is the maximum (Bayes-optimal) discriminability index for two distributions, based on the amount of their overlap, i.e. the optimal (Bayes) error of classification by an ideal observer, or its complement, the optimal accuracy :
- ,[1]
where is the inverse cumulative distribution function of the standard normal. The Bayes discriminability between univariate or multivariate normal distributions can be numerically computed [1] (Matlab code), and may also be used as an approximation when the distributions are close to normal.
is a positive-definite statistical distance measure that is free of assumptions about the distributions, like the Kullback-Leibler divergence . is asymmetric, whereas is symmetric for the two distributions. However, does not satisfy the triangle inequality, so it is not a full metric. [1]
In particular, for a yes/no task between two univariate normal distributions with means and variances , the Bayes-optimal classification accuracies are:[1]
- ,
where denotes the non-central chi-squared distribution, , and . The Bayes discriminability
can also be computed from the ROC curve of a yes/no task between two univariate normal distributions with a single shifting criterion. It can also be computed from the ROC curve of any two distributions (in any number of variables) with a shifting likelihood-ratio, by locating the point on the ROC curve that is farthest from the diagonal. [1]
For a two-interval task between these distributions, the optimal accuracy is ( denotes the generalized chi-squared distribution), where .[1] The Bayes discriminability .
RMS sd discriminability index[]
A common approximate (i.e. sub-optimal) discriminability index that has a closed-form is to take the average of the variances, i.e. the rms of the two standard deviations: [3] (also denoted by ). It is times the -score of the area under the receiver operating characteristic curve (AUC) of a single-criterion observer. This index is extended to general dimensions as the Mahalanobis distance using the pooled covariance, i.e. with as the common sd matrix.[1]
Average sd discriminability index[]
Another index is , extended to general dimensions using as the common sd matrix.[1]
Comparison of the indices[]
It has been shown that for two univariate normal distributions, , and for multivariate normal distributions, still.[1]
Thus, and underestimate the maximum discriminability of univariate normal distributions. can underestimate by a maximum of approximately 30%. At the limit of high discriminability for univariate normal distributions, converges to . These results often hold true in higher dimensions, but not always.[1] Simpson and Fitter [3] promoted as the best index, particularly for two-interval tasks, but Das and Geisler [1] have shown that is the optimal discriminability in all cases, and is often a better closed-form approximation than , even for two-interval tasks.
The approximate index , which uses the geometric mean of the sd's, is less than at small discriminability, but greater at large discriminability.[1]
See also[]
- Receiver operating characteristic (ROC)
- Summary statistics
- Effect size
References[]
- ^ a b c d e f g h i j k l m n Das, Abhranil (2020). "A method to integrate and classify normal distributions". arXiv:2012.14331 [stat.ML].
- ^ MacMillan, N.; Creelman, C. (2005). Detection Theory: A User's Guide. Lawrence Erlbaum Associates. ISBN 9781410611147.
- ^ a b Simpson, A. J.; Fitter, M. J. (1973). "What is the best index of detectability?". Psychological Bulletin. 80 (6): 481–488. doi:10.1037/h0035203.
- Wickens, Thomas D. (2001). Elementary Signal Detection Theory. OUP USA. ch. 2, p. 20. ISBN 0-19-509250-3.
External links[]
- Interactive signal detection theory tutorial including calculation of d′.
- Detection theory
- Signal processing
- Summary statistics
- Signal processing stubs
- Statistics stubs