This auxiliary function's main job is to calculate the p-values of the statistical significance test of the AUC values for each input feature for two-class problem.
Data can be provided in matrix form, where the rows correspond to cases with feature values and class label. The columns contain the values of individual features and the last column must contain class labels (with two class labels).
The correction methods include the Bonferroni correction ("bonferroni") in which the p-values are multiplied by the number of comparisons and the less conservative corrections by Bonferroni-Holm method ("bonferroniholm"). A pass-through option ("none") is also included.
The correction methods are designed to give strong control of the family-wise error rate.
See the “Value” section to this page for more details.