An experimental comparison of classification techniques for imbalanced credit scoring data sets using SAS® Enterprise MinerTM
نویسنده
چکیده
In this paper, we set out to compare several techniques that can be used in the analysis of imbalanced credit scoring data sets. In a credit scoring context, imbalanced data sets frequently occur as the number of defaulting loans in a portfolio is usually much lower than the number of observations that do not default. As well as using traditional classification techniques such as logistic regression, neural networks and decision trees, this paper will also explore the suitability of gradient boosting and memory based reasoning (k-NN) in SAS® Enterprise MinerTM for loan default prediction. Five real-world credit scoring data sets are used to build classifiers and test their performance. In our experiments, we progressively increase class imbalance in each of these data sets by randomly under-sampling the minority class of defaulters, so as to identify to what extent the predictive power of the respective techniques is adversely affected. The performance criterion chosen to measure this effect is the area under the receiver operating characteristic curve (AUC); Friedman's statistic and Nemenyi post-hoc tests are used to test for significance of AUC differences between techniques. The results from this empirical study indicate that the Gradient Boosting performs very well in a credit scoring context and are able to cope comparatively well with pronounced class imbalances in these data sets. We also found that, when faced with a large class imbalance, the decision tree algorithm, quadratic discriminant analysis and k-nearest neighbours perform significantly worse than the best performing classifiers.
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متن کاملAn experimental comparison of classification algorithms for imbalanced credit scoring data sets
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تاریخ انتشار 2012