Hybrid model using logit and nonparametric methods for predicting micro-entity failure

Following the calls from literature on bankruptcy, a parsimonious hybrid bankruptcy model is developed in this paper by combining parametric and non-parametric approaches.To this end, the variables with the highest predictive power to detect bankruptcy are selected using logistic regression (LR). Subsequently, alternative non-parametric methods (Multilayer Perceptron, Rough Set, and Classification-Regression Trees) are applied, in turn, to firms classified as either “bankrupt” or “not bankrupt”. Our findings show that hybrid models, particularly those combining LR and Multilayer Perceptron, offer better accuracy performance and interpretability and converge faster than each method implemented in isolation. Moreover, the authors demonstrate that the introduction of non-financial and macroeconomic variables complement financial ratios for bankruptcy prediction

Selection of Statistical Software for Solving Big Data Problems for Teaching

The need for analysts with expertise in big data software is becoming more apparent in 4 today’s society. Unfortunately, the demand for these analysts far exceeds the number 5 available. A potential way to combat this shortage is to identify the software sought by 6 employers and to align this with the software taught by universities. This paper will 7 examine multiple data analysis software – Excel add-ins, SPSS, SAS, Minitab, and R – and 8 it will outline the cost, training, statistical methods/tests/uses, and specific uses within 9 industry for each of these software. It will further explain implications for universities and 10 students (PDF

An Introduction to Recursive Partitioning: Rationale, Application and Characteristics of Classification and Regression Trees, Bagging and Random Forests

Recursive partitioning methods have become popular and widely used tools for nonparametric regression and classification in many scientific fields. Especially random forests, that can deal with large numbers of predictor variables even in the presence of complex interactions, have been applied successfully in genetics, clinical medicine and bioinformatics within the past few years. High dimensional problems are common not only in genetics, but also in some areas of psychological research, where only few subjects can be measured due to time or cost constraints, yet a large amount of data is generated for each subject. Random forests have been shown to achieve a high prediction accuracy in such applications, and provide descriptive variable importance measures reflecting the impact of each variable in both main effects and interactions. The aim of this work is to introduce the principles of the standard recursive partitioning methods as well as recent methodological improvements, to illustrate their usage for low and high dimensional data exploration, but also to point out limitations of the methods and potential pitfalls in their practical application. Application of the methods is illustrated using freely available implementations in the R system for statistical computing

Generalized Extreme Value Regression for Binary Rare Events Data: an Application to Credit Defaults

The most used regression model with binary dependent variable is the logistic regression model. When the dependent variable represents a rare event, the logistic regression model shows relevant drawbacks. In order to overcome these drawbacks we propose the Generalized Extreme Value (GEV) regression model. In particular, in a Generalized Linear Model (GLM) with binary dependent variable we suggest the quantile function of the GEV distribution as link function, so our attention is focused on the tail of the response curve for values close to one. The estimation procedure is the maximum likelihood method. This model accommodates skewness and it presents a generalization of GLMs with log-log link function. In credit risk analysis a pivotal topic is the default probability estimation. Since defaults are rare events, we apply the GEV regression to empirical data on Italian Small and Medium Enterprises (SMEs) to model their default probabilities.

Bayesian shrinkage in mixture-of-experts models: identifying robust determinants of class membership

A method for implicit variable selection in mixture-of-experts frameworks is proposed. We introduce a prior structure where information is taken from a set of independent covariates. Robust class membership predictors are identified using a normal gamma prior. The resulting model setup is used in a finite mixture of Bernoulli distributions to find homogenous clusters of women in Mozambique based on their information sources on HIV. Fully Bayesian inference is carried out via the implementation of a Gibbs sampler

Futures Studies in the Interactive Society

This book consists of papers which were prepared within the framework of the research project (No. T 048539) entitled Futures Studies in the Interactive Society (project leader: Éva Hideg) and funded by the Hungarian Scientific Research Fund (OTKA) between 2005 and 2009. Some discuss the theoretical and methodological questions of futures studies and foresight; others present new approaches to or procedures of certain questions which are very important and topical from the perspective of forecast and foresight practice. Each study was conducted in pursuit of improvement in futures fields