A Metric Framework for Quantifying Data Concentration
Poor performance of artificial neural nets when applied to credit-related classification problems is investigated and contrasted with logistic regression classification. We propose that artificial neural nets are less successful because of the inherent structure of credit data rather than any particular aspect of the neural net structure. Three metrics are developed to rationalise the result with such data. The metrics exploit the distributional properties of the data to rationalise neural net results. They are used in conjunction with a variant of an established concentration measure that differentiates between class characteristics. The results are contrasted with those obtained using random data, and are compared with results obtained using logistic regression. We find, in general agreement with previous studies, that logistic regressions out-perform neural nets in the majority of cases. An approximate decision criterion is developed in order to explain adverse results.
KeywordsCopula Hypersphere Cluster Herfindahl-Hirschman HHI Credit Concentration Decision criterion Tensorflow Neural Net
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