• 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