DocumentCode
384064
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
Volume
3
fYear
2002
fDate
2002
Firstpage
49
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Pattern Recognition, 2002. Proceedings. 16th International Conference on
ISSN
1051-4651
Print_ISBN
0-7695-1695-X
Type
conf
DOI
10.1109/ICPR.2002.1047792
Filename
1047792
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