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Predicción de bancarrota: Una comparación de técnicas estadísticas y de aprendizaje supervisado para computadora

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Keywords
  • C14 - Semiparametric And Nonparametric Methods: General
  • C45 - Neural Networks And Related Topics
  • C11 - Bayesian Analysis: General

Abstract

We are interested in forecasting bankruptcies in a probabilistic way. Specifcally, we com- pare the classification performance of several statistical and machine-learning techniques, namely discriminant analysis (Altman's Z-score), logistic regression, least-squares support vector machines and different instances of Gaussian processes (GP's) -that is GP's classifiers, Bayesian Fisher discriminant and Warped GP's. Our contribution to the field of computa- tional finance is to introduce GP's as a potentially competitive probabilistic framework for bankruptcy prediction. Data from the repository of information of the US Federal Deposit Insurance Corporation is used to test the predictions.

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