The harm of class imbalance corrections for risk prediction models: illustration and simulation using logistic regression.

OBJECTIVE

Methods to correct class imbalance (imbalance between the frequency of outcome events and nonevents) are receiving increasing interest for developing prediction models. We examined the effect of imbalance correction on the performance of logistic regression models.

MATERIAL AND METHODS

Prediction models were developed using standard and penalized (ridge) logistic regression under 4 methods to address class imbalance: no correction, random undersampling, random oversampling, and SMOTE. Model performance was evaluated in terms of discrimination, calibration, and classification. Using Monte Carlo simulations, we studied the impact of training set size, number of predictors, and the outcome event fraction. A case study on prediction modeling for ovarian cancer diagnosis is presented.

RESULTS

The use of random undersampling, random oversampling, or SMOTE yielded poorly calibrated models: the probability to belong to the minority class was strongly overestimated. These methods did not result in higher areas under the ROC curve when compared with models developed without correction for class imbalance. Although imbalance correction improved the balance between sensitivity and specificity, similar results were obtained by shifting the probability threshold instead.

DISCUSSION

Imbalance correction led to models with strong miscalibration without better ability to distinguish between patients with and without the outcome event. The inaccurate probability estimates reduce the clinical utility of the model, because decisions about treatment are ill-informed.

CONCLUSION

Outcome imbalance is not a problem in itself, imbalance correction may even worsen model performance.