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http://hdl.handle.net/2445/178203
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DC Field | Value | Language |
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dc.contributor.author | Pesantez-Narvaez, Jessica | - |
dc.contributor.author | Guillén, Montserrat | - |
dc.contributor.author | Alcañiz, Manuela | - |
dc.date.accessioned | 2021-06-10T11:44:27Z | - |
dc.date.available | 2022-02-26T06:10:22Z | - |
dc.date.issued | 2021-01-01 | - |
dc.identifier.issn | 0927-7099 | - |
dc.identifier.uri | http://hdl.handle.net/2445/178203 | - |
dc.description.abstract | Most classical econometric methods and tree boosting based algorithms tend to increase the prediction error with binary imbalanced data. We propose a synthetic penalized logitboost based on weighting corrections. The procedure (i) improves the prediction performance under the phenomenon in question, (ii) allows interpretability since coefficients can get stabilized in the recursive procedure, and (iii) reduces the risk of overfitting. We consider a mortgage lending case study using publicly available data to illustrate our method. Results show that errors are smaller in many extreme prediction scores, outperforming a number of existing methods. Our interpretations are consistent with results obtained using a classic econometric model. | - |
dc.format.extent | 29 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Springer Science + Business Media | - |
dc.relation.isformatof | Versió postprint del document publicat a: https://doi.org/10.1007/s10614-020-10059-5 | - |
dc.relation.ispartof | Computational Economics, 2021, vol. 57, num. 1, p. 281-309 | - |
dc.relation.uri | https://doi.org/10.1007/s10614-020-10059-5 | - |
dc.rights | (c) Springer Science + Business Media, 2021 | - |
dc.source | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) | - |
dc.subject.classification | Anàlisi de regressió | - |
dc.subject.classification | Empirisme | - |
dc.subject.classification | Risc (Economia) | - |
dc.subject.classification | Teoria de l'estimació | - |
dc.subject.other | Regression analysis | - |
dc.subject.other | Empiricism | - |
dc.subject.other | Risk | - |
dc.subject.other | Estimation theory | - |
dc.title | A Synthetic penalized logitboost to model mortgage lending with imbalanced cata | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/acceptedVersion | - |
dc.identifier.idgrec | 706387 | - |
dc.date.updated | 2021-06-10T11:44:27Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
Files in This Item:
File | Description | Size | Format | |
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706387.pdf | 679.44 kB | Adobe PDF | View/Open |
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