Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7408819 | International Journal of Forecasting | 2012 | 9 Pages |
Abstract
In this paper we illustrate this phenomenon of a misaligned log-odds relationship within a model built using a method which is standard in retail banking. The sequential elimination of correlated variable bins results in an improved estimation, at the cost of the model's ranking performance. A post-hoc quadratic transformation of the scores improves the model fit without affecting the ranking performance, but may prove difficult to apply in current operational systems.
Related Topics
Social Sciences and Humanities
Business, Management and Accounting
Business and International Management
Authors
Ross A. McDonald, Matthew Sturgess, Keith Smith, Michael S. Hawkins, Edward Xiao-Ming Huang,