CARTfromAtoB概要.pptVIP

Copyright 2003 -- Confidential and Proprietary -- Deloitte Touche LLP Copyright 2003 -- Confidential and Proprietary -- Deloitte Touche LLP CART from A to B James Guszcza, FCAS, MAAA CAS Predictive Modeling Seminar Chicago September, 2005 Contents An Insurance Example Some Basic Theory Suggested Uses of CART Case Study: comparing CART with other methods What is CART? Classification And Regression Trees Developed by Breiman, Friedman, Olshen, Stone in early 80’s. Introduced tree-based modeling into the statistical mainstream Rigorous approach involving cross-validation to select the optimal tree One of many tree-based modeling techniques. CART -- the classic CHAID C5.0 Software package variants (SAS, S-Plus, R…) Note: the “rpart” package in “R” is freely available Philosophy “Our philosophy in data analysis is to look at the data from a number of different viewpoints. Tree structured regression offers an interesting alternative for looking at regression type problems. It has sometimes given clues to data structure not apparent from a linear regression analysis. Like any tool, its greatest benefit lies in its intelligent and sensible application.” --Breiman, Friedman, Olshen, Stone The Key Idea Recursive Partitioning Take all of your data. Consider all possible values of all variables. Select the variable/value (X=t1) that produces the greatest “separation” in the target. (X=t1) is called a “split”. If X t1 then send the data to the “left”; otherwise, send data point to the “right”. Now repeat same process on these two “nodes” You get a “tree” Note: CART only uses binary splits. An Insurance Example Let’s Get Rolling Suppose you have 3 variables: # vehicles: {1,2,3…10+} Age category: {1,2,3…6} Liability-only: {0,1} At each iteration, CART tests all 15 splits. (#veh2), (#veh3),…, (#veh10) (age2),…, (age6) (lia1) Select split resulting in greatest increase in purity. Perfect purity: each spli