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Jacob Spoelstra jspoelstra

  • Microsoft
  • Redmond, WA
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jspoelstra / titanic.ipynb
Created April 28, 2017 05:59
Titanic data exploration and age imputation
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jspoelstra / fraudperf.R
Last active May 21, 2019 19:50
Transaction Fraud Detection Performance Evaluation
# Utility function to use within AzureML for calculating useful account-level performance metrics
# for transaction fraud detection models. Each metric is calculated as a function of the score-cutoff
# used. These include:
# Account Detection Rate (ADR): what fraction of the fraud accounts received a score above the
# threshold at some point after the fraud started
# Value Detection Rate (VDR): From the point in time that the fist transaction scored above
# the threshold, what fraction of the losses could have been prevented.
# This code specifically calculates the effect of delayed action: it will calculate VDR for various scenarios,