Object selection in credit scoring using covariance matrix of parameters estimations

DOI10.1007/S10479-017-2417-3zbMATH Open1404.91261OpenAlexW2586735570WikidataQ59243793 ScholiaQ59243793MaRDI QIDQ1703531FDOQ1703531

Authors: Alexander A. Aduenko, Anastasia P. Motrenko, Vadim Strijov 

Publication date: 2 March 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-017-2417-3

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zbMATH Keywords

credit scoringdefault probabilitycash loanobject selectionoutliers filtering

Mathematics Subject Classification ID

Bayesian inference (62F15) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Cites Work

• Generalized linear models and extensions.
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• Pattern recognition and machine learning.
• Outlier detection in the multiple cluster setting using the minimum covariance determinant estimator
• Outlier identification in high dimensions
• Applied logistic regression
• A proof of the Gamma test
• Implementing the Bianco and Yohai estimator for logistic regression
• Solving Ill-Conditioned and Singular Linear Systems: A Tutorial on Regularization
• Regularized optimization in statistical learning: a Bayesian perspective
• Bayesian residual analysis for binary response regression models
• A comparative analysis of multiple outlier detection procedures in the linear regression model.
• A clustering algorithm for identifying multiple outliers in linear regression.
• A procedure for the detection of multivariate outliers.
• Sample size determination for logistic regression

Cited In (1)

• A class of categorization methods for credit scoring models

Uses Software

• UCI-ml
• Stata
• aplore3
• glm
• PRMLT

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