Support Vector Machines for Credit Scoring and discovery of significant features

The assessment of risk of default on credit is important for financial institutions. Logistic regression and discriminant analysis are techniques traditionally used in credit scoring for determining likelihood to default based on consumer application and credit reference agency data. We test support vector machines against these traditional methods on a large credit card database. We find that they are competitive and can be used as the basis of a feature selection method to discover those features that are most significant in determining risk of default. 1

Managing Uncertainty: A Case for Probabilistic Grid Scheduling

The Grid technology is evolving into a global, service-orientated architecture, a universal platform for delivering future high demand computational services. Strong adoption of the Grid and the utility computing concept is leading to an increasing number of Grid installations running a wide range of applications of different size and complexity. In this paper we address the problem of elivering deadline/economy based scheduling in a heterogeneous application environment using statistical properties of job historical executions and its associated meta-data. This approach is motivated by a study of six-month computational load generated by Grid applications in a multi-purpose Grid cluster serving a community of twenty e-Science projects. The observed job statistics, resource utilisation and user behaviour is discussed in the context of management approaches and models most suitable for supporting a probabilistic and autonomous scheduling architecture

An Unsupervised Approach for Automatic Activity Recognition based on Hidden Markov Model Regression

Using supervised machine learning approaches to recognize human activities from on-body wearable accelerometers generally requires a large amount of labelled data. When ground truth information is not available, too expensive, time consuming or difficult to collect, one has to rely on unsupervised approaches. This paper presents a new unsupervised approach for human activity recognition from raw acceleration data measured using inertial wearable sensors. The proposed method is based upon joint segmentation of multidimensional time series using a Hidden Markov Model (HMM) in a multiple regression context. The model is learned in an unsupervised framework using the Expectation-Maximization (EM) algorithm where no activity labels are needed. The proposed method takes into account the sequential appearance of the data. It is therefore adapted for the temporal acceleration data to accurately detect the activities. It allows both segmentation and classification of the human activities. Experimental results are provided to demonstrate the efficiency of the proposed approach with respect to standard supervised and unsupervised classification approache

Characterization of production in different branches of production in different branches spanish industrial activity, by means of time series analysis.

This work presents a quantitative study of the evolution of spanish industrial activity, measured by the indices of industrial production, by means of Time Series analysis. Univariate ARIMA models with intervention analysis for all the series of these indices have been constructed. The use of Univariate Time Series models to characterise economic phenomena is justified and the type of characterisation made for each industrial branch is described. The procedures for automatic modelling of series are presented. Then the characteristics of the Spanish industrial branches are shown. These results are collected in a diskette for use of researchers.ARIMA model; Intervention analysis; Univariate model; Industrial production; automatic modelling;

Analysis and Quality Control from ARIMA Modeling

In this paper, we use ARIMA modelling to estimate a set of characteristics of a short-term indicator (for example, the index of industrial production), as trends, seasonal variations, cyclical oscillations, unpredictability, deterministic effects (as a strike), etc. Thus for each sector and product (more than 1000), we construct a vector of values corresponding to the above-mentioned characteristics, that can be used for data editing

Meta-models for structural reliability and uncertainty quantification

A meta-model (or a surrogate model) is the modern name for what was traditionally called a response surface. It is intended to mimic the behaviour of a computational model M (e.g. a finite element model in mechanics) while being inexpensive to evaluate, in contrast to the original model which may take hours or even days of computer processing time. In this paper various types of meta-models that have been used in the last decade in the context of structural reliability are reviewed. More specifically classical polynomial response surfaces, polynomial chaos expansions and kriging are addressed. It is shown how the need for error estimates and adaptivity in their construction has brought this type of approaches to a high level of efficiency. A new technique that solves the problem of the potential biasedness in the estimation of a probability of failure through the use of meta-models is finally presented.Comment: Keynote lecture Fifth Asian-Pacific Symposium on Structural Reliability and its Applications (5th APSSRA) May 2012, Singapor