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Article

HETEROSCEDASTIC DISCRIMINANT ANALYSIS COMBINED WITH FEATURE SELECTION FOR CREDIT SCORING

Discriminant Analysis (Fisher, 1936, Krzyśko, 1990) and a feature selection algorithm that retains sufficient information for classification purpose. We have tested five feature subset selection algorithms: two filters and three wrappers. To evaluate the accuracy of the proposed credit scoring model and to compare it with the existing approaches we have used the German credit data set from the study (Chen, Li, 2010). The results of our study suggest that the proposed hybrid approach is an effective and

Katarzyna Stąpor, Tomasz Smolarczyk, Piotr Fabian

Statistics in Transition New Series , ISSUE 2, 265–280

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