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In biomedicine, binary classification problems are involved in diagnostic but also, for instance, in personalized medicine. The objective is to use information for correctly allocating subjects in groups. Frequently, this information implies high-dimensional data. An adequate classification rule is a trade-off between the sensitivity and the specificity. The ROC curve helps to understand, evaluate and compare the accuracy of classification processes. We propose a procedure for estimating the optimal classification rules based on a penalized estimator of the underlying probability distribution functions. We study its asymptotic properties. Through Monte Carlo simulations, we compare our proposal with a support vector machine-based ROC curve. We illustrate its practical use in a real-world problem. Results suggest that, despite some techniques promise to improve the results provided by traditional methods, in the binary classification problem, the limit is the actual relationship among the density functions.

The fundamental role of density functions in the binary classification problem