A MODIFIED LEAST SQUARES SUPPORT VECTOR MACHINE CLASSIFIER WITH APPLICATION TO CREDIT RISK ANALYSIS
文献类型：期刊论文
| 作者 | Yu, Lean1,2; Wang, Shouyang1 ; Cao, Jie3
|
| 刊名 | INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING
 |
| 出版日期 | 2009-12-01 |
| 卷号 | 8期号:4页码:697-710 |
| 关键词 | Least squares support vector machine classifier regularization parameter prior knowledge credit risk analysis |
| ISSN号 | 0219-6220 |
| DOI | 10.1142/S0219622009003600 |
| 英文摘要 | In this paper, a modified least squares support vector machine classifier, called the C-variable least squares support vector machine (C-VLSSVM) classifier, is proposed for credit risk analysis. The main idea of the proposed classifier is based on the prior knowledge that different classes may have different importance for modeling and more weight should be given to classes having more importance. The C-VLSSVM classifier can be obtained by a simple modification of the regularization parameter, based on the least squares support vector machine (LSSVM) classifier, whereby more weight is given to errors in classification of important classes, than to errors in classification of unimportant classes, while keeping the regularized terms in their original form. For illustration purpose, two real-world credit data sets are used to verify the effectiveness of the C-VLSSVM classifier. Experimental results obtained reveal that the proposed C-VLSSVM classifier can produce promising classification results in credit risk analysis, relative to other classifiers listed in this study. |
| 资助项目 | National Natural Science Foundation of China ; RGC Joint Research Scheme ; Innovation Program of the Chinese Academy of Sciences ; Research Institute of Philosophies and Social Sciences in Hunan Universities |
| WOS研究方向 | Computer Science ; Operations Research & Management Science |
| 语种 | 英语 |
| WOS记录号 | WOS:000275348100004 |
| 出版者 | WORLD SCIENTIFIC PUBL CO PTE LTD |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/7046]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Yu, Lean |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100190, Peoples R China 2.Res Ctr Financial Engn & Financial Management, Changsha 410114, Hunan, Peoples R China 3.Nanjing Univ Informat Sci & Technol, Sch Econ & Management, Nanjing 210044, Peoples R China |
| 推荐引用方式 GB/T 7714 | Yu, Lean,Wang, Shouyang,Cao, Jie. A MODIFIED LEAST SQUARES SUPPORT VECTOR MACHINE CLASSIFIER WITH APPLICATION TO CREDIT RISK ANALYSIS[J]. INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING,2009,8(4):697-710. |
| APA | Yu, Lean,Wang, Shouyang,&Cao, Jie.(2009).A MODIFIED LEAST SQUARES SUPPORT VECTOR MACHINE CLASSIFIER WITH APPLICATION TO CREDIT RISK ANALYSIS.INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING,8(4),697-710. |
| MLA | Yu, Lean,et al."A MODIFIED LEAST SQUARES SUPPORT VECTOR MACHINE CLASSIFIER WITH APPLICATION TO CREDIT RISK ANALYSIS".INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING 8.4(2009):697-710. |
入库方式： OAI收割
来源：数学与系统科学研究院
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