Calculating the normalized Gini index

This function calculates the Gini index of a classification rule outputting probabilities. It is a classical metric in the context of Credit Scoring. It is equal to 2 times the AUC (Area Under ROC Curve) minus 1.

normalizedGini(actual, predicted)

Arguments

actual	The numeric binary vector of the actual labels observed.
predicted	The vector of the probabilities predicted by the classification rule.

Author

Adrien Ehrhardt

Examples

normalizedGini(c(1, 1, 1, 0, 0), c(0.7, 0.9, 0.5, 0.6, 0.3))
#> [1] 0.6666667