An insight into the experimental design for credit risk and corporate bankruptcy prediction systems

Over the last years, it has been observed an increasing interest of the finance and business communities in any application tool related to the prediction of credit and bankruptcy risk, probably due to the need of more robust decision-making systems capable of managing and analyzing complex data. As a result, plentiful techniques have been developed with the aim of producing accurate prediction models that are able to tackle these issues. However, the design of experiments to assess and compare these models has attracted little attention so far, even though it plays an important role in validating and supporting the theoretical evidence of performance. The experimental design should be done carefully for the results to hold significance; otherwise, it might be a potential source of misleading and contradictory conclusions about the benefits of using a particular prediction system. In this work, we review more than 140 papers published in refereed journals within the period 2000–2013, putting the emphasis on the bases of the experimental design in credit scoring and bankruptcy prediction applications. We provide some caveats and guidelines for the usage of databases, data splitting methods, performance evaluation metrics and hypothesis testing procedures in order to converge on a systematic, consistent validation standard.This work has partially been supported by the Mexican Science and Technology Council (CONACYT-Mexico) through a Postdoctoral Fellowship [223351], the Spanish Ministry of Economy under grant TIN2013-46522-P and the Generalitat Valenciana under grant PROMETEOII/2014/062

Integrated smoothed location model and data reduction approaches for multi variables classification

Smoothed Location Model is a classification rule that deals with mixture of continuous variables and binary variables simultaneously. This rule discriminates groups in a parametric form using conditional distribution of the continuous variables given each pattern of the binary variables. To conduct a practical classification analysis, the objects must first be sorted into the cells of a multinomial table generated from the binary variables. Then, the parameters in each cell will be estimated using the sorted objects. However, in many situations, the estimated parameters are poor if the number of binary is large relative to the size of sample. Large binary variables will create too many multinomial cells which are empty, leading to high sparsity problem and finally give exceedingly poor performance for the constructed rule. In the worst case scenario, the rule cannot be constructed. To overcome such shortcomings, this study proposes new strategies to extract adequate variables that contribute to optimum performance of the rule. Combinations of two extraction techniques are introduced, namely 2PCA and PCA+MCA with new cutpoints of eigenvalue and total variance explained, to determine adequate extracted variables which lead to minimum misclassification rate. The outcomes from these extraction techniques are used to construct the smoothed location models, which then produce two new approaches of classification called 2PCALM and 2DLM. Numerical evidence from simulation studies demonstrates that the computed misclassification rate indicates no significant difference between the extraction techniques in normal and non-normal data. Nevertheless, both proposed approaches are slightly affected for non-normal data and severely affected for highly overlapping groups. Investigations on some real data sets show that the two approaches are competitive with, and better than other existing classification methods. The overall findings reveal that both proposed approaches can be considered as improvement to the location model, and alternatives to other classification methods particularly in handling mixed variables with large binary size

Automated Intelligent Cueing Device to Improve Ambient Gait Behaviors for Patients with Parkinson\u27s Disease

Freezing of gait (FoG) is a common motor dysfunction in individuals with Parkinson’s disease (PD). FoG impairs walking and is associated with increased fall risk. Although pharmacological treatments have shown promise during ON-medication periods, FoG remains difficult to treat during medication OFF state and in advanced stages of the disease. External cueing therapy in the forms of visual, auditory, and vibrotactile, has been effective in treating gait deviations. Intelligent (or on-demand) cueing devices are novel systems that analyze gait patterns in real-time and activate cues only at moments when specific gait alterations are detected. In this study we developed methods to analyze gait signals collected through wearable sensors and accurately identify FoG episodes. We also investigated the potential of predicting the symptoms before their actual occurrence. We collected data from seven participants with PD using two Inertial Measurement Units (IMUs) on ankles. In our first study, we extracted engineered features from the signals and used machine learning (ML) methods to identify FoG episodes. We tested the performance of models using patient-dependent and patient-independent paradigms. The former models achieved 92.5% and 89.0% for average sensitivity and specificity, respectively. However, the conventional binary classification methods fail to accurately classify data if only data from normal gait periods are available. In order to identify FoG episodes in participants who did not freeze during data collection sessions, we developed a Deep Gait Anomaly Detector (DGAD) to identify anomalies (i.e., FoG) in the signals. DGAD was formed of convolutional layers and trained to automatically learn features from signals. The convolutional layers are followed by fully connected layers to reduce the dimensions of the features. A k-nearest neighbors (kNN) classifier is then used to classify the data as normal or FoG. The models identified 87.4% of FoG onsets, with 21.9% being predicted on average for each participant. This study demonstrates our algorithm\u27s potential for delivery of preventive cues. The DGAD algorithm was then implemented in an Android application to monitor gait patterns of PD patients in ambient environments. The phone triggered vibrotactile and auditory cues on a connected smartwatch if an FoG episode was identified. A 6-week in-home study showed the potentials for effective treatment of FoG severity in ambient environments using intelligent cueing devices

Diversified Ensemble Classifiers for Highly Imbalanced Data Learning and their Application in Bioinformatics

In this dissertation, the problem of learning from highly imbalanced data is studied. Imbalance data learning is of great importance and challenge in many real applications. Dealing with a minority class normally needs new concepts, observations and solutions in order to fully understand the underlying complicated models. We try to systematically review and solve this special learning task in this dissertation.We propose a new ensemble learning framework—Diversified Ensemble Classifiers for Imbal-anced Data Learning (DECIDL), based on the advantages of existing ensemble imbalanced learning strategies. Our framework combines three learning techniques: a) ensemble learning, b) artificial example generation, and c) diversity construction by reversely data re-labeling. As a meta-learner, DECIDL utilizes general supervised learning algorithms as base learners to build an ensemble committee. We create a standard benchmark data pool, which contains 30 highly skewed sets with diverse characteristics from different domains, in order to facilitate future research on imbalance data learning. We use this benchmark pool to evaluate and compare our DECIDL framework with several ensemble learning methods, namely under-bagging, over-bagging, SMOTE-bagging, and AdaBoost. Extensive experiments suggest that our DECIDL framework is comparable with other methods. The data sets, experiments and results provide a valuable knowledge base for future research on imbalance learning. We develop a simple but effective artificial example generation method for data balancing. Two new methods DBEG-ensemble and DECIDL-DBEG are then designed to improve the power of imbalance learning. Experiments show that these two methods are comparable to the state-of-the-art methods, e.g., GSVM-RU and SMOTE-bagging. Furthermore, we investigate learning on imbalanced data from a new angle—active learning. By combining active learning with the DECIDL framework, we show that the newly designed Active-DECIDL method is very effective for imbalance learning, suggesting the DECIDL framework is very robust and flexible.Lastly, we apply the proposed learning methods to a real-world bioinformatics problem—protein methylation prediction. Extensive computational results show that the DECIDL method does perform very well for the imbalanced data mining task. Importantly, the experimental results have confirmed our new contributions on this particular data learning problem

Automatic Multi-Label ECG Classification with Category Imbalance and Cost-Sensitive Thresholding

From MDPI via Jisc Publications RouterHistory: accepted 2021-11-12, pub-electronic 2021-11-14Publication status: PublishedFunder: Collaborative Innovation Center for Prevention and Treatment of Cardiovascular Disease of Si-chuan Province (CICPTCDSP); Grant(s): xtcx2019-01Automatic electrocardiogram (ECG) classification is a promising technology for the early screening and follow-up management of cardiovascular diseases. It is, by nature, a multi-label classification task owing to the coexistence of different kinds of diseases, and is challenging due to the large number of possible label combinations and the imbalance among categories. Furthermore, the task of multi-label ECG classification is cost-sensitive, a fact that has usually been ignored in previous studies on the development of the model. To address these problems, in this work, we propose a novel deep learning model–based learning framework and a thresholding method, namely category imbalance and cost-sensitive thresholding (CICST), to incorporate prior knowledge about classification costs and the characteristic of category imbalance in designing a multi-label ECG classifier. The learning framework combines a residual convolutional network with a class-wise attention mechanism. We evaluate our method with a cost-sensitive metric on multiple realistic datasets. The results show that CICST achieved a cost-sensitive metric score of 0.641 ± 0.009 in a 5-fold cross-validation, outperforming other commonly used thresholding methods, including rank-based thresholding, proportion-based thresholding, and fixed thresholding. This demonstrates that, by taking into account the category imbalance and predefined cost information, our approach is effective in improving the performance and practicability of multi-label ECG classification models

Heuristic methods for support vector machines with applications to drug discovery.

The contributions to computer science presented in this thesis were inspired by the analysis of the data generated in the early stages of drug discovery. These data sets are generated by screening compounds against various biological receptors. This gives a first indication of biological activity. To avoid screening inactive compounds, decision rules for selecting compounds are required. Such a decision rule is a mapping from a compound representation to an estimated activity. Hand-coding such rules is time-consuming, expensive and subjective. An alternative is to learn these rules from the available data. This is difficult since the compounds may be characterized by tens to thousands of physical, chemical, and structural descriptors and it is not known which are most relevant to the prediction of biological activity. Further, the activity measurements are noisy, so the data can be misleading. The support vector machine (SVM) is a statistically well-founded learning machine that is not adversely affected by high-dimensional representations and is robust with respect to measurement inaccuracies. It thus appears to be ideally suited to the analysis of screening data. The novel application of the SVM to this domain highlights some shortcomings with the vanilla SVM. Three heuristics are developed to overcome these deficiencies: a stopping criterion, HERMES, that allows good solutions to be found in less time; an automated method, LAIKA, for tuning the Gaussian kernel SVM; and, an algorithm, STAR, that outputs a more compact solution. These heuristics achieve their aims on public domain data and are broadly successful when applied to the drug discovery data. The heuristics and associated data analysis are thus of benefit to both pharmacology and computer science

Evaluating machine learning models in non-standard settings: An overview and new findings

Estimating the generalization error (GE) of machine learning models is fundamental, with resampling methods being the most common approach. However, in non-standard settings, particularly those where observations are not independently and identically distributed, resampling using simple random data divisions may lead to biased GE estimates. This paper strives to present well-grounded guidelines for GE estimation in various such non-standard settings: clustered data, spatial data, unequal sampling probabilities, concept drift, and hierarchically structured outcomes. Our overview combines well-established methodologies with other existing methods that, to our knowledge, have not been frequently considered in these particular settings. A unifying principle among these techniques is that the test data used in each iteration of the resampling procedure should reflect the new observations to which the model will be applied, while the training data should be representative of the entire data set used to obtain the final model. Beyond providing an overview, we address literature gaps by conducting simulation studies. These studies assess the necessity of using GE-estimation methods tailored to the respective setting. Our findings corroborate the concern that standard resampling methods often yield biased GE estimates in non-standard settings, underscoring the importance of tailored GE estimation