Variable Selection in ROC Regression

Table 2

Prediction of AUC at 𝑧_0𝑘 with group SCAD. Size means the number of selected factors, where each factor contains two variables.

Setting	Methods	𝑧01			𝑧02			𝑧03
		MSE	MAE	Size	MSE	MAE	Size	MSE	MAE	Size
1	CV	0.00345	0.0467	4.72	0.00295	0.0437	4.72	0.00114	0.0255	4.72
	GCV	0.00345	0.0467	4.49	0.00294	0.0432	4.49	0.00114	0.0251	4.49
	AIC	0.00349	0.0468	4.90	0.00291	0.0428	4.90	0.00110	0.0246	4.90
	BIC	0.00335	0.0461	3.62	0.00317	0.0450	3.62	0.00147	0.0278	3.62
	FIC	0.00339	0.0464	4.23	0.00283	0.0426	4.23	0.00108	0.0247	4.23
2	CV	0.00328	0.0461	8.31	0.00279	0.0428	8.31	0.00073	0.0209	8.31
	GCV	0.00339	0.0470	9.43	0.00281	0.0433	9.43	0.00066	0.0206	9.43
	AIC	0.00344	0.0472	12.05	0.00285	0.0434	12.05	0.00064	0.0204	12.05
	BIC	0.00324	0.0458	6.14	0.00328	0.0462	6.14	0.00129	0.0259	6.14
	FIC	0.00327	0.0459	7.97	0.00290	0.0440	7.97	0.00081	0.0224	7.97
3	CV	0.00369	0.0483	6.67	0.00439	0.0535	6.67	0.00199	0.0317	6.67
	GCV	0.00367	0.0483	6.14	0.00436	0.0533	6.14	0.00197	0.0316	6.14
	AIC	0.00369	0.0484	6.36	0.00441	0.0534	6.36	0.00201	0.0318	6.36
	BIC	0.00367	0.0482	5.14	0.00473	0.0549	5.14	0.00247	0.0345	5.14
	FIC	0.00368	0.0483	5.46	0.00451	0.0532	5.49	0.00219	0.0324	5.49