Fused least absolute shrinkage and selection operator for credit scoring

DOI10.1080/00949655.2014.922685MaRDI QIDQ5220852zbMATH OpenOpenAlexFDO

Authors Hosik Choi, Ja-Yong Koo, Changyi Park

Publication date 27 March 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2014.922685

zbMATH Keywords

augmented Lagrangian functionLassosolution path

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A classification spline machine for building a credit scorecard
• Credit scoring and its applications.
• Defining attributes for scorecard construction in credit scoring
• Distributed optimization and statistical learning via the alternating direction method of multipliers
• Efficient global approximation of generalized nonlinear \(\ell _{1}\)-regularized solution paths and its applications
• Heuristics of instability and stabilization in model selection
• scientific article; zbMATH DE number 477682 (Why is no real title available?)
• Least angle regression. (With discussion)
• Simultaneous Factor Selection and Collapsing Levels in ANOVA
• Sparse modeling of categorial explanatory variables
• Sparsity and Smoothness Via the Fused Lasso

Cited in

(2)

• Homogeneity detection for the high-dimensional generalized linear model
• Analysis of individual credit scoring based on logistic regression with the adaptive Lasso

Describes a project that uses

Uses Software

• CasANOVA

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