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Measuring overlap in logistic regression
Christmann, Andreas; Rousseeuw, Peter J. - 1999
amount of separation between successes and failures in the binary response framework. Extending this algorithm allows us to … compute the overlap in data sets which are commonly fitted by logistic regression models. The overlap is the number of … observations that would need to be removed to obtain complete or quasicomplete separation, i.e. the situation where the logistic …
Persistent link: https://www.econbiz.de/10010316690
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Measuring overlap in logistic regression
Christmann, Andreas; Rousseeuw, Peter J. - 1999
amount of separation between successes and failures in the binary response framework. Extending this algorithm allows us to … compute the overlap in data sets which are commonly fitted by logistic regression models. The overlap is the number of … observations that would need to be removed to obtain complete or quasicomplete separation, i.e. the situation where the logistic …
Persistent link: https://www.econbiz.de/10009793277
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Comparison of Credit Scoring Models on Probability of Default Estimation for Us Banks
Gurný, Petr; Gurný, Martin - In: Prague Economic Papers 2013 (2013) 2, pp. 163-181
This paper is devoted to the estimation of the probability of default (PD) as a crucial parameter in risk management, requests for loans, rating estimation, pricing of credit derivatives and many others key financial fields. Particularly, in this paper we will estimate the PD of US banks by...
Persistent link: https://www.econbiz.de/10011195616
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Outliers and influence points in German business cycles
Zucknick, Manuela; Weihs, Claus; Garczarek, Ursula - 2002
multivariate outliers as well as influence points corresponding to Linear Discriminant Analysis. The locations of the corresponding …
Persistent link: https://www.econbiz.de/10009770532
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Outliers and influence points in German business cycles
Zucknick, Manuela; Weihs, Claus; Garczarek, Ursula - 2002
multivariate outliers as well as influence points corresponding to Linear Discriminant Analysis. The locations of the corresponding …
Persistent link: https://www.econbiz.de/10010316672
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Outliers and influence points in German business cycles
Zucknick, Manuela; Weihs, Claus; Garczarek, Ursula - Institut für Wirtschafts- und Sozialstatistik, … - 2002
multivariate outliers as well as influence points corresponding to Linear Discriminant Analysis. The locations of the corresponding …
Persistent link: https://www.econbiz.de/10010955352
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Predicting US Banks Bankruptcy : Logit versus Canonical Discriminant Analysis
Affes, Zeineb - 2017
Using a large panel of US banks over the period 2008-2013, this paper proposes an early warning framework to identify bank heading to bankruptcy. We conduct a comparative analysis based on both Canonical Discriminant Analysis and Logit models to examine and to determine the most accurate one....
Persistent link: https://www.econbiz.de/10012968419
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Detection models for unintentional financial restatements
Papík, Mário; Papíková, Lenka - In: Journal of business economics and management 21 (2020) 1, pp. 64-86
The aim of manuscript is to analyze and identify determinants of honest accounting errors leading to financial restatements based on data from SEC database and from annual reports. Reason for this study is that accounting errors are expensive for companies that need to change already published...
Persistent link: https://www.econbiz.de/10012176183
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Two statistical problems related to credit scoring / Tanja de la Rey.
De la Rey, Tanja - 2007
. Secondly, we derive a new method DOUW (detecting outliers using weights) which may be used to fit logistic regression models … robustly and for the detection of outliers.In the first problem, the focus is on a measure which may be used to study the … problem, the focus is on providing a robust logistic regression fit andthe identification of outliers. It is well-known that …
Persistent link: https://www.econbiz.de/10009455950
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Some aspects of random utility, extreme value theory and multinomial logit models
Andersson, Jonas; Ubøe, Jan - 2010
Persistent link: https://www.econbiz.de/10003939638