The Bayesian additive classification tree applied to credit risk modelling

DOI10.1016/j.csda.2009.11.022zbMath1464.62196OpenAlexW2090499458MaRDI QIDQ962375

Junni L. Zhang, Wolfgang Karl Härdle

Publication date: 6 April 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2008-003.pdf

zbMATH Keywords

misclassification rateclassification and regression treeaccuracy ratiofinancial ratio

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (5)

Smoothing and adaptation of shifted Pólya tree ensembles ⋮ BART-based inference for Poisson processes ⋮ Bayesian additive regression trees for genotype by environment interaction models ⋮ BART: Bayesian additive regression trees ⋮ Bayesian additive regression trees with model trees

Uses Software

• UCI-ml
• BayesTree
• AdaBoost.MH
• BayesDA
• bootstrap
• BartPy

Cites Work

• Greedy function approximation: A gradient boosting machine.
• BART: Bayesian additive regression trees
• A decision-theoretic generalization of on-line learning and an application to boosting
• Least angle regression. (With discussion)
• Complete statistical theory of learning
• Modeling default risk with support vector machines
• A Bayesian CART algorithm
• Random forests
• Stochastic gradient boosting.
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