4.7 Article

A comparative assessment of ensemble learning for credit scoring

期刊

EXPERT SYSTEMS WITH APPLICATIONS
卷 38, 期 1, 页码 223-230

出版社

PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/j.eswa.2010.06.048

关键词

Credit scoring; Ensemble learning; Bagging; Boosting; Stacking

资金

  1. Innovation and Technology Fund (ITF) of HK [GHP/006/07, InP/007/08]

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Both statistical techniques and Artificial Intelligence (Al) techniques have been explored for credit scoring, an important finance activity. Although there are no consistent conclusions on which ones are better, recent studies suggest combining multiple classifiers, i.e., ensemble learning, may have a better performance. In this study, we conduct a comparative assessment of the performance of three popular ensemble methods, i.e., Bagging. Boosting, and Stacking, based on four base learners, i.e., Logistic Regression Analysis (LRA), Decision Tree (DT), Artificial Neural Network (ANN) and Support Vector Machine (SVM). Experimental results reveal that the three ensemble methods can substantially improve individual base learners. In particular, Bagging performs better than Boosting across all credit datasets. Stacking and Bagging DT in our experiments, get the best performance in terms of average accuracy, type I error and type II error. (c) 2010 Elsevier Ltd. All rights reserved.

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