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

Pena Centeno, Tonatiuh and Martinez Jaramillo, Serafin and Abudu, Bolanle (2009): Predicción de bancarrota: Una comparación de técnicas estadísticas y de aprendizaje supervisado para computadora.

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.

• Item Type: MPRA Paper
• English Title: Bankruptcy prediction: a comparison of some statistical and machine learning techniques
• Language: English
• Keywords: Bankruptcy prediction, Artificial intelligence, Supervised learning, Gaussian processes, Z-score.
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C14 - Semiparametric and Nonparametric Methods: General; C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C45 - Neural Networks and Related Topics; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C11 - Bayesian Analysis: General

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