Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/25245 
Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2008,003
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
We propose a new nonlinear classification method based on a Bayesian sum-of-trees model, the Bayesian Additive Classification Tree (BACT), which extends the Bayesian Additive Regression Tree (BART) method into the classification context. Like BART, the BACT is a Bayesian nonparametric additive model specified by a prior and a likelihood in which the additive components are trees, and it is fitted by an iterative MCMC algorithm. Each of the trees learns a different part of the underlying function relating the dependent variable to the input variable, but the sum of the trees offers a flexible and robust model. Through several benchmark examples, we show that the BACT has excellent performance. This practical example is very important for banks to construct their risk profile and operate successfully. We use the German Creditreform database and classify the solvency status of German firms based on financial statement information. We show that the BACT outperforms the logit model, CART and the Support Vector Machine in identifying insolvent firms.
Schlagwörter: 
Classification and Regression Tree
Financial Ratio
Misclassification Rate
Accuracy Ratio
JEL: 
C14
C11
C45
C01
Dokumentart: 
Working Paper

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