Adaptive Thresholds for Monitoring and Screening in Imbalanced Samples: Optimality and Boosting Sensitivity

Abstract: Suppose (standardized) measurements or statistics are monitored to raise an alarm when a threshold is exceeded. Often, the underlying population is heterogenous with respect to important discrete variables and thus samples may consist of imbalanced classes. We propose to use thresholds which depend on such covariates to boost the sensitivity for rare classes, which otherwise tend to be ignored. Under mild conditions, we identify optimal threshold functions and develop a feasible procedure for their computation. Further, for the proportional rule a nonparametric estimator of the threshold function is proposed and a central limit theorem is shown, including the case that conditional mean and variance used for standardization are estimated. For feasible uncertainty quantification a bootstrap scheme is proposed. The approach is illustrated and evaluated by a real data analysis.