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一个快速的生存支持向量的回归方法,通过安全选进行大规模的信用评分
1School of Mathematics and Statistics, Central South University, Changsha, China.
Big data
|July 23, 2024
概括
一个新的巴克利-詹姆斯安全样本选支持向量回归 (BJS4VR) 算法改善了大型生存数据集的信用风险建模. 这种方法提高了预测准确性和效率,优于现有的生存模型.
科学领域:
- 计算统计的计算统计.
- 机器学习用于金融.
背景情况:
- 生存模型越来越多地用于信用评分,以分析时间依赖的风险.
- 现有的支向量回归生存模型面临审查数据和大数据集效率的挑战.
研究的目的:
- 提出一种新的算法,巴克利-詹姆斯安全样本选支持向量回归 (BJS4VR),用于在信用评分中建模大规模生存数据.
- 提高信用风险评估生存分析的准确性和计算效率.
主要方法:
- BJS4VR算法将巴克利-詹姆斯转换与支向量的回归相结合.
- 经过审查的样本使用巴克利-詹姆斯估计器进行归算,以确保公正的估计.
- 安全样本选用于删除非活跃样本,提高计算效率.
主要成果:
- 与RSFM,CoxRidge和CoxBoost相比,BJS4VR模型在大规模贷款数据上显示出更高的预测准确性.
- 拟议的方法在建模大型生存数据集时显著提高了时间效率.
- 有效地确定了影响信用风险的关键变量.
结论:
- BJS4VR算法为信用评分中的生存分析提供了一种强大而高效的方法.
- 该方法提供了准确的风险预测,并有助于识别关键的信用风险因素.
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