[scikit-learn] Plot Cross-validated ROCs for multi-class classification problem

[serafim loukas]

Dear Scikit-learn community,


I have a 3 class classification problem and I would like to plot the average ROC across Folds.
There is an example in scikit-learn website but only for binary classification problems (http://scikit-learn.org/stable/auto_examples/model_selection/plot_roc_crossval.html).

I want to do the same but in the case of 3 classes. I have tried to use `clf = OneVsRestClassifier(LinearDiscriminantAnalysis())`but I am having a hard time to make it work.


Any help would be appreciated,
Makis
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