adaboost算法在钢铁行业信用评级指标选择中-The Applic.docVIP

The Applications and its Strategies of AdaBoost Algorithm in the Credit Ratings on Feature Selection: Taking Iron and Steel Sector For Example LI Hui1,2 1 School of Statistics, Renmin University of China, Beijing, PRC, 100872; 2 School of Science and Information, Qingdao Agricultural University, Qingdao, PRC, 266109 Abstract：In this paper, Adaboost algorithm is applied in credit ratings firstly, and empirical analysis shows that Adaboost algorithm on the basis of 18 indexes selected as regression variables fits the credit rates of 39 listed iron and steel companies of China very well. The discrimination errors are 2.56% after 10 iterations, given iterations added then its errors could reach zero and output classification results stably. In additions, the index importance outputs used from two aspects can reselect and refine the nine key indexes among the eighteen indexes. After using Adaboost algorithm to test again, we can find that the nine indexes reduced do not cut down the classification information of the models and the rating corrections do not slide down either. Keywords：credit ratings；feature selection；AdaBoost algorithms；iron and steel sector Ⅰ.Introduction Most of regression models, which reflect realistic economy and society events, are relate to feature selection, and then credit rating involves them. The essence of credit ratings is to provide a risky symbol to investors, discovering and delivering some information of credit risks. Therefore, credit rating describes credit risk by credit symbols, which could be considered as a kind of classifications, and that is a kind of qualitative regressions. From feature selection on qualitative regression, we can find qualitative regression is bound up with feature selection and good or bad of selection will influents correction and effects directly. However modern feature selection methods are divided as three classes: Filter, Wrapper, Embedded[1]. Filter is a kind of general feature selection method, and it