Using parametric classification trees for model selection with applications to financial risk management.
C. J. AdcockNigel MeadePublished in: Eur. J. Oper. Res. (2017)
Keyphrases
- risk management
- learning machines
- model selection
- classification trees
- cross validation
- decision trees
- decision support system
- inductive learning
- hyperparameters
- logistic regression
- parameter estimation
- training data
- regression model
- generalization error
- regression trees
- sample size
- financial institutions
- portfolio optimization
- machine learning
- data sets
- variable selection
- software projects
- class distribution
- commercial banks
- multi class
- real world
- training set
- knowledge base
- gaussian process
- generative model
- prior knowledge
- classification models
- decision makers
- project management