Fused least absolute shrinkage and selection operator for credit scoring
DC Field | Value | Language |
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dc.contributor.author | Choi, Hosik | - |
dc.contributor.author | Koo, Ja-Yong | - |
dc.contributor.author | Park, Changyi | - |
dc.date.accessioned | 2021-09-04T14:07:37Z | - |
dc.date.available | 2021-09-04T14:07:37Z | - |
dc.date.created | 2021-06-18 | - |
dc.date.issued | 2015-07-24 | - |
dc.identifier.issn | 0094-9655 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/92988 | - |
dc.description.abstract | Credit scoring can be defined as the set of statistical models and techniques that help financial institutions in their credit decision makings. In this paper, we consider a coarse classification method based on fused least absolute shrinkage and selection operator (LASSO) penalization. By adopting fused LASSO, one can deal continuous as well as discrete variables in a unified framework. For computational efficiency, we develop a penalization path algorithm. Through numerical examples, we compare the performances of fused LASSO and LASSO with dummy variable coding. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | TAYLOR & FRANCIS LTD | - |
dc.title | Fused least absolute shrinkage and selection operator for credit scoring | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Koo, Ja-Yong | - |
dc.identifier.doi | 10.1080/00949655.2014.922685 | - |
dc.identifier.scopusid | 2-s2.0-84928624623 | - |
dc.identifier.wosid | 000353463500001 | - |
dc.identifier.bibliographicCitation | JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, v.85, no.11, pp.2135 - 2147 | - |
dc.relation.isPartOf | JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION | - |
dc.citation.title | JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION | - |
dc.citation.volume | 85 | - |
dc.citation.number | 11 | - |
dc.citation.startPage | 2135 | - |
dc.citation.endPage | 2147 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Computer Science | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Computer Science, Interdisciplinary Applications | - |
dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
dc.subject.keywordAuthor | 62G08 | - |
dc.subject.keywordAuthor | 62F07 | - |
dc.subject.keywordAuthor | solution path | - |
dc.subject.keywordAuthor | augmented Lagrangian function | - |
dc.subject.keywordAuthor | LASSO | - |
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