Title :
Learning Bayesian network classifiers for credit scoring using Markov chain Monte Carlo search
Author :
Baesens, B. ; Egmont-Petersen, M. ; Castelo, R. ; Vanthienen, J.
Author_Institution :
Dept. of Appl. Economic Sci., Katholieke Univ., Leuven, Belgium
Abstract :
In this paper, we evaluate the power and usefulness of Bayesian network classifiers (probabilistic networks) for credit scoring. Various types of Bayesian network classifiers are evaluated and contrasted including unrestricted Bayesian network classifiers learning using Markov Chain Monte Carlo (MCMC) search. Experiments were carried out on three real life credit scoring data sets. It is shown that MCMC Bayesian network classifiers have a very good performance and by using the Markov blanket concept, a natural form of feature selection is obtained, which results in parsimonious and powerful models for financial credit scoring.
Keywords :
Markov processes; Monte Carlo methods; belief networks; credit transactions; feature extraction; finance; learning (artificial intelligence); pattern classification; Bayesian network classifier; Markov blanket concept; Markov chain; Monte Carlo search; feature selection; financial credit scoring; probabilistic networks; probability; training data; Bayesian methods; Classification tree analysis; Computer networks; Decision trees; Frequency estimation; Monte Carlo methods; Neural networks; Pattern recognition; Power generation economics; Probability distribution;
Conference_Titel :
Pattern Recognition, 2002. Proceedings. 16th International Conference on
Print_ISBN :
0-7695-1695-X
DOI :
10.1109/ICPR.2002.1047792