Dynamic Bayesian modeling for risk prediction in credit operations

Publikation: Forskning - peer reviewKonferenceartikel i proceeding

Abstrakt

Our goal is to do risk prediction in credit operations, and as data is collected continuously and reported on a monthly basis, this gives rise to a streaming data classification problem. Our analysis reveals some practical problems that have not previously been thoroughly analyzed in the context of streaming data analysis: the class labels are not immediately available and the relevant predictive features and entities under study (in this case the set of customers) may vary over time. In order to address these problems, we propose to use a dynamic classifier with a wrapper feature subset selection to find relevant features at different time steps. The proposed model is a special case of a more general framework that can also accommodate more expressive models containing latent variables as well as more sophisticated feature selection schemes.
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Detaljer

Our goal is to do risk prediction in credit operations, and as data is collected continuously and reported on a monthly basis, this gives rise to a streaming data classification problem. Our analysis reveals some practical problems that have not previously been thoroughly analyzed in the context of streaming data analysis: the class labels are not immediately available and the relevant predictive features and entities under study (in this case the set of customers) may vary over time. In order to address these problems, we propose to use a dynamic classifier with a wrapper feature subset selection to find relevant features at different time steps. The proposed model is a special case of a more general framework that can also accommodate more expressive models containing latent variables as well as more sophisticated feature selection schemes.
OriginalsprogEngelsk
TitelThe 13th Scandinavian Conference on Artificial Intelligence (SCAI'2015)
UdgiverIOS Press
Publikationsdato2015
Sider17-26
ISBN (trykt)978-1-61499-588-3
ISBN (elektronisk)978-1-61499-589-0
DOI
StatusUdgivet - 2015
Begivenhed - Halmstad, Sverige

Konference

Konference13th Scandinavian Conference on Artificial Intelligence
Nummer13th
LokationHalmstad University
LandSverige
ByHalmstad
Periode04/11/201506/11/2015
SerieFrontiers in Artificial Intelligence and Applications
Vol/bind278
ISSN0922-6389

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