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We propose a new nonlinear classification method based on a Bayesian "sum-of-trees" model, the Bayesian Additive Classification Tree (BACT), which extends the Bayesian Additive Regression Tree (BART) method into the classification context. Like BART, the BACT is a Bayesian nonparametric additive...
Persistent link: https://www.econbiz.de/10012966260
Knowledge generated using data mining techniques is of great interest for organizations, as it facilitates tactical and strategic decision making, generating a competitive advantage. In the special case of credit granting organizations, it is important to clearly define rejection/approval...
Persistent link: https://www.econbiz.de/10012204352
Commonly used classification and regression tree methods like the CART algorithm are recursive partitioning methods that build the model in a forward stepwise search. Although this approach is known to be an efficient heuristic, the results of recursive tree methods are only locally optimal, as...
Persistent link: https://www.econbiz.de/10010294812
Persistent link: https://www.econbiz.de/10009544965
Commonly used classification and regression tree methods like the CART algorithm are recursive partitioning methods that build the model in a forward stepwise search. Although this approach is known to be an efficient heuristic, the results of recursive tree methods are only locally optimal, as...
Persistent link: https://www.econbiz.de/10009737522
Virtually each seasonal adjustment software includes an ensemble of seasonality tests for assessing whether a given time series is in fact a candidate for seasonal adjustment. However, such tests are certain to produce either the same resultor conflicting results, raising the question if there...
Persistent link: https://www.econbiz.de/10012301212
This study analyses credit default risk for firms in the Asian and Pacific region by applying two methodologies: a Support Vector Machine (SVM) and a logistic regression (Logit). Among different financial ratios suggested as predictors of default, leverage ratios and the company size display a...
Persistent link: https://www.econbiz.de/10010281539
This article aims to identify the most relevant variables that allow through a neural network model (RNA), with supervised learning, in a kind of error correction and feedforward perceptron multilayer architecture to achieve the best predictors of low risk, in the process of microcredit....
Persistent link: https://www.econbiz.de/10010290053
Predicting default probabilities is important for firms and banks to operate successfully and to estimate their specific risks. There are many reasons to use nonlinear techniques for predicting bankruptcy from financial ratios. Here we propose the so called Support Vector Machine (SVM) to...
Persistent link: https://www.econbiz.de/10012966238
In the era of Basel II a powerful tool for bankruptcy prognosis is vital for banks. The tool must be precise but also easily adaptable to the bank's objections regarding the relation of false acceptances (Type I error) and false rejections (Type II error). We explore the suitability of Smooth...
Persistent link: https://www.econbiz.de/10012966259