Fused least absolute shrinkage and selection operator for credit scoring

DOI10.1080/00949655.2014.922685zbMath1457.62330OpenAlexW2055041576MaRDI QIDQ5220852

Changyi Park, Hosik Choi, Ja-Yong Koo

Publication date: 27 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2014.922685

zbMATH Keywords

augmented Lagrangian functionLassosolution path

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Homogeneity detection for the high-dimensional generalized linear model

Uses Software

• CasANOVA

Cites Work

• Unnamed Item
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• Sparse modeling of categorial explanatory variables
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• Least angle regression. (With discussion)
• Efficient Global Approximation of Generalized Nonlinear ℓ₁-Regularized Solution Paths and Its Applications
• Simultaneous Factor Selection and Collapsing Levels in ANOVA
• A classification spline machine for building a credit scorecard
• Defining attributes for scorecard construction in credit scoring
• Credit Scoring and Its Applications, Second Edition
• Sparsity and Smoothness Via the Fused Lasso

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