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Study of Single and Ensemble Machine Learning Models on Credit Data to Detect Underlying Non-performing Loans
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
2016 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

In this paper, we try to compare the performance of two feature dimension reduction methods, the LASSO and PCA. Both simulation study and empirical study show that the LASSO is superior to PCA when selecting significant variables. We apply Logistics Regression (LR), Artificial Neural Network (ANN), Support Vector Machine (SVM), Decision Tree (DT) and their corresponding ensemble machines constructed by bagging and adaptive boosting (adaboost) in our study. Three experiments are conducted to explore the impact of class-unbalanced data set on all models. Empirical study indicates that when the percentage of performing loans exceeds 83.3%, the training models shall be carefully applied. When we have class-balanced data set, ensemble machines indeed have a better performance over single machines. The weaker the single machine, the more obvious the improvement we can observe.

Place, publisher, year, edition, pages
2016. , 77 p.
Keyword [en]
Machine learning, Feature Dimension Reduction, NPL
National Category
Probability Theory and Statistics
URN: urn:nbn:se:uu:diva-297080OAI: oai:DiVA.org:uu-297080DiVA: diva2:940833
External cooperation
Emric AB
Subject / course
Educational program
Master Programme in Statistics
Available from: 2016-06-22 Created: 2016-06-21 Last updated: 2016-06-22Bibliographically approved

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