Title

Variable selection in classification model via quadratic programming

Document Type

Article

Publication Title

Communications in Statistics: Simulation and Computation

Abstract

Variable selection is an important decision process in consumer credit scoring. However, with the rapid growth in credit industry, especially, after the rising of e-commerce, a huge amount of information on customer behavior is available to provide more informative implication of consumer credit scoring. In this study, a hybrid quadratic programming model is proposed for consumer credit scoring problems by variable selection. The proposed model is then solved with a bisection method based on Tabu search algorithm (BMTS), and the solution of this model provides alternative subsets of variables in different sizes. The final subset of variables used in consumer credit scoring model is selected based on both the size (number of variables in a subset) and predictive (classification) accuracy rate. Simulation studies are used to measure the performances of the proposed model, illustrating its effectiveness for simultaneous variable selection as well as classification.

First Page

1922

Last Page

1939

DOI

10.1080/03610918.2017.1332211

Publication Date

8-9-2018

This document is currently not available here.

Share

COinS