2021
DOI: 10.14495/jsiaml.13.9
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Performance evaluation of least-squares probabilistic classifier for corporate credit rating classification problem

Abstract: The corporate credit rating classification problem has attracted lots of research interests in the literature of financial risk management. This article introduces the least-squares probabilistic classifier to the problem in an attempt to provide a model with better explanatory power. Empirical results show that the least-squares probabilistic classifier outperforms the logistic regression model, random forest, and the support vector machine in prediction accuracy ratios and F1 scores, for the samples of bond … Show more

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Cited by 5 publications
(4 citation statements)
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“…It is calculated as the harmonic mean of precision and recall, with values ranging from 0 to 1, where 1 indicates perfect precision and recall. The equation for the F1 score is given by Saito et al [ 47 ]: where precision is the proportion of true positives among all instances classified as positive, and recall is the proportion of true positives among all instances that are positive. The F1 score is useful when the classes in the dataset are imbalanced, meaning there are more instances of one class than the other.…”
Section: Resultsmentioning
confidence: 99%
See 1 more Smart Citation
“…It is calculated as the harmonic mean of precision and recall, with values ranging from 0 to 1, where 1 indicates perfect precision and recall. The equation for the F1 score is given by Saito et al [ 47 ]: where precision is the proportion of true positives among all instances classified as positive, and recall is the proportion of true positives among all instances that are positive. The F1 score is useful when the classes in the dataset are imbalanced, meaning there are more instances of one class than the other.…”
Section: Resultsmentioning
confidence: 99%
“…It is calculated as the harmonic mean of precision and recall, with values ranging from 0 to 1, where 1 indicates perfect precision and recall. The equation for the F1 score is given by Saito et al [47]:…”
Section: Precisionmentioning
confidence: 99%
“…In this case, the weighing its distance between the samples of training to the test in a specific class or group of data. If the train set is denoted as 𝑍 𝑍 (36) Here ℎ 𝐾 represents the distance between 𝑖 class and the test samples. 𝜆 0, in order to valid the penalty cost.…”
Section: Softmax Discriminant Classifier (Sdc)mentioning
confidence: 99%
“…It is calculated as the harmonic mean of precision and recall, with values ranging from 0 to 1, where 1 indicates perfect precision and recall. The equation for F1 score is given by Saito et al [36] 𝟏 𝟐 * 𝑻𝑷 𝟐 * 𝑻𝑷 𝑭𝑷 𝑭𝑵 (45) Precision represents the ratio of true positives to the total number of instances classified as positive, while recall represents the ratio of true positives to all instances that are genuinely positive. The F1 score is useful when the classes in the dataset are imbalanced, meaning there are more instances of one class than the other.…”
Section: F1 Scorementioning
confidence: 99%