Predictive Credit Risk Analytics Using Borrowers' Digital Footprint and Methods of Statistical Machine Learning

2021 ◽  
Vol 12 (7) ◽  
pp. 358-372
Author(s):  
E. V. Orlova ◽  
Keyword(s):  
Machine Learning ◽  
Credit Risk ◽  
Risk Profile ◽  
Classification Model ◽  
Gradient Boosting ◽  
Suggested Approach ◽  
Digital Footprint ◽  
Credit Risks ◽  
Stochastic Gradient Boosting ◽  
Boosting Method

The article considers the problem of reducing the banks credit risks associated with the insolvency of borrowers — individuals using financial, socio-economic factors and additional data about borrowers digital footprint. A critical analysis of existing approaches, methods and models in this area has been carried out and a number of significant shortcomings identified that limit their application. There is no comprehensive approach to identifying a borrowers creditworthiness based on information, including data from social networks and search engines. The new methodological approach for assessing the borrowers risk profile based on the phased processing of quantitative and qualitative data and modeling using methods of statistical analysis and machine learning is proposed. Machine learning methods are supposed to solve clustering and classification problems. They allow to automatically determine the data structure and make decisions through flexible and local training on the data. The method of hierarchical clustering and the k-means method are used to identify similar social, anthropometric and financial indicators, as well as indicators characterizing the digital footprint of borrowers, and to determine the borrowers risk profile over group. The obtained homogeneous groups of borrowers with a unique risk profile are further used for detailed data analysis in the predictive classification model. The classification model is based on the stochastic gradient boosting method to predict the risk profile of a potencial borrower. The suggested approach for individuals creditworthiness assessing will reduce the banks credit risks, increase its stability and profitability. The implementation results are of practical importance. Comparative analysis of the effectiveness of the existing and the proposed methodology for assessing credit risk showed that the new methodology provides predictive ana­lytics of heterogeneous information about a potential borrower and the accuracy of analytics is higher. The proposed techniques are the core for the decision support system for justification of individuals credit conditions, minimizing the aggregate credit risks.

scholarly journals A Machine Learning Method for Predicting Vegetation Indices in China

2021 ◽  
Vol 13 (6) ◽  
pp. 1147
Author(s):  
Xiangqian Li ◽  
Wenping Yuan ◽  
Wenjie Dong
Keyword(s):  
Machine Learning ◽  
Growing Season ◽  
Crop Growth ◽  
Spatiotemporal Distribution ◽  
Coefficient Of Determination ◽  
Gradient Boosting ◽  
Severe Drought ◽  
Vegetation Growth ◽  
Extreme Gradient Boosting ◽  
Boosting Method

To forecast the terrestrial carbon cycle and monitor food security, vegetation growth must be accurately predicted; however, current process-based ecosystem and crop-growth models are limited in their effectiveness. This study developed a machine learning model using the extreme gradient boosting method to predict vegetation growth throughout the growing season in China from 2001 to 2018. The model used satellite-derived vegetation data for the first month of each growing season, CO2 concentration, and several meteorological factors as data sources for the explanatory variables. Results showed that the model could reproduce the spatiotemporal distribution of vegetation growth as represented by the satellite-derived normalized difference vegetation index (NDVI). The predictive error for the growing season NDVI was less than 5% for more than 98% of vegetated areas in China; the model represented seasonal variations in NDVI well. The coefficient of determination (R2) between the monthly observed and predicted NDVI was 0.83, and more than 69% of vegetated areas had an R2 > 0.8. The effectiveness of the model was examined for a severe drought year (2009), and results showed that the model could reproduce the spatiotemporal distribution of NDVI even under extreme conditions. This model provides an alternative method for predicting vegetation growth and has great potential for monitoring vegetation dynamics and crop growth.

scholarly journals Proposing a machine-learning based method to predict stillbirth before and during delivery and ranking the features: nationwide retrospective cross-sectional study

2021 ◽  
Vol 21 (1) ◽  
Author(s):  
Toktam Khatibi ◽  
Elham Hanifi ◽  
Mohammad Mehdi Sepehri ◽  
Leila Allahqoli
Keyword(s):  
Machine Learning ◽  
External Validation ◽  
Fetal Loss ◽  
Null Distribution ◽  
Training Dataset ◽  
Gradient Boosting ◽  
Support Vector ◽  
Cross Sectional ◽  
Boosting Method ◽  
Demographic Features

Abstract Background Stillbirth is defined as fetal loss in pregnancy beyond 28 weeks by WHO. In this study, a machine-learning based method is proposed to predict stillbirth from livebirth and discriminate stillbirth before and during delivery and rank the features. Method A two-step stack ensemble classifier is proposed for classifying the instances into stillbirth and livebirth at the first step and then, classifying stillbirth before delivery from stillbirth during the labor at the second step. The proposed SE has two consecutive layers including the same classifiers. The base classifiers in each layer are decision tree, Gradient boosting classifier, logistics regression, random forest and support vector machines which are trained independently and aggregated based on Vote boosting method. Moreover, a new feature ranking method is proposed in this study based on mean decrease accuracy, Gini Index and model coefficients to find high-ranked features. Results IMAN registry dataset is used in this study considering all births at or beyond 28th gestational week from 2016/04/01 to 2017/01/01 including 1,415,623 live birth and 5502 stillbirth cases. A combination of maternal demographic features, clinical history, fetal properties, delivery descriptors, environmental features, healthcare service provider descriptors and socio-demographic features are considered. The experimental results show that our proposed SE outperforms the compared classifiers with the average accuracy of 90%, sensitivity of 91%, specificity of 88%. The discrimination of the proposed SE is assessed and the average AUC of ±95%, CI of 90.51% ±1.08 and 90% ±1.12 is obtained on training dataset for model development and test dataset for external validation, respectively. The proposed SE is calibrated using isotopic nonparametric calibration method with the score of 0.07. The process is repeated 10,000 times and AUC of SE classifiers using random different training datasets as null distribution. The obtained p-value to assess the specificity of the proposed SE is 0.0126 which shows the significance of the proposed SE. Conclusions Gestational age and fetal height are two most important features for discriminating livebirth from stillbirth. Moreover, hospital, province, delivery main cause, perinatal abnormality, miscarriage number and maternal age are the most important features for classifying stillbirth before and during delivery.

scholarly journals Methodology and Models for Individuals’ Creditworthiness Management Using Digital Footprint Data and Machine Learning Methods

Mathematics ◽  
2021 ◽  
Vol 9 (15) ◽  
pp. 1820
Author(s):  
Ekaterina V. Orlova
Keyword(s):  
Interest Rates ◽  
Additional Data ◽  
Risk Level ◽  
Gradient Boosting ◽  
Cluster Number ◽  
New Approach ◽  
Credit Risks ◽  
Stochastic Gradient Boosting ◽  
The Stability ◽  
Digital Footprints

This research deals with the challenge of reducing banks’ credit risks associated with the insolvency of borrowing individuals. To solve this challenge, we propose a new approach, methodology and models for assessing individual creditworthiness, with additional data about borrowers’ digital footprints to implement comprehensive analysis and prediction of a borrower’s credit profile. We suggest a model for borrowers’ clustering based on the method of hierarchical clustering and the k-means method, which groups actual borrowers having similar creditworthiness and similar credit risks into homogeneous clusters. We also design the model for borrowers’ classification based on the stochastic gradient boosting (SGB) method, which reliably determines the cluster number and therefore the risk level for a new borrower. The developed models are the basis for decision making regarding the decision about lending value, interest rates and lending terms for each risk-homogeneous borrower’s group. The modified version of the methodology for assessing individual creditworthiness is presented, which is to reduce the credit risks and to increase the stability and profitability of financial organizations.

scholarly journals Comparison of Ensemble Machine Learning Methods for Soil Erosion Pin Measurements

2021 ◽  
Vol 10 (1) ◽  
pp. 42
Author(s):  
Kieu Anh Nguyen ◽  
Walter Chen ◽  
Bor-Shiun Lin ◽  
Uma Seeboonruang
Keyword(s):  
Machine Learning ◽  
Soil Erosion ◽  
Ensemble Methods ◽  
Machine Learning Algorithms ◽  
Multivariate Adaptive Regression Splines ◽  
Gradient Boosting ◽  
Support Vector ◽  
Ensemble Machine Learning ◽  
Boosting Method ◽  
Bagging Method

Although machine learning has been extensively used in various fields, it has only recently been applied to soil erosion pin modeling. To improve upon previous methods of quantifying soil erosion based on erosion pin measurements, this study explored the possible application of ensemble machine learning algorithms to the Shihmen Reservoir watershed in northern Taiwan. Three categories of ensemble methods were considered in this study: (a) Bagging, (b) boosting, and (c) stacking. The bagging method in this study refers to bagged multivariate adaptive regression splines (bagged MARS) and random forest (RF), and the boosting method includes Cubist and gradient boosting machine (GBM). Finally, the stacking method is an ensemble method that uses a meta-model to combine the predictions of base models. This study used RF and GBM as the meta-models, decision tree, linear regression, artificial neural network, and support vector machine as the base models. The dataset used in this study was sampled using stratified random sampling to achieve a 70/30 split for the training and test data, and the process was repeated three times. The performance of six ensemble methods in three categories was analyzed based on the average of three attempts. It was found that GBM performed the best among the ensemble models with the lowest root-mean-square error (RMSE = 1.72 mm/year), the highest Nash-Sutcliffe efficiency (NSE = 0.54), and the highest index of agreement (d = 0.81). This result was confirmed by the spatial comparison of the absolute differences (errors) between model predictions and observations using GBM and RF in the study area. In summary, the results show that as a group, the bagging method and the boosting method performed equally well, and the stacking method was third for the erosion pin dataset considered in this study.

scholarly journals Learning from Imbalanced Educational Data Using Ensemble Machine Learning Algorithms

Webology ◽  
2021 ◽  
Vol 18 (Special Issue 01) ◽  
pp. 183-195
Author(s):  
Thingbaijam Lenin ◽  
N. Chandrasekaran
Keyword(s):  
Machine Learning ◽  
Random Forest ◽  
Missing Values ◽  
Machine Learning Techniques ◽  
Gradient Boosting ◽  
Adaptive Boosting ◽  
Stochastic Gradient Boosting ◽  
Ensemble Machine Learning ◽  
Learning Techniques ◽  
Student’S Performance

Student’s academic performance is one of the most important parameters for evaluating the standard of any institute. It has become a paramount importance for any institute to identify the student at risk of underperforming or failing or even drop out from the course. Machine Learning techniques may be used to develop a model for predicting student’s performance as early as at the time of admission. The task however is challenging as the educational data required to explore for modelling are usually imbalanced. We explore ensemble machine learning techniques namely bagging algorithm like random forest (rf) and boosting algorithms like adaptive boosting (adaboost), stochastic gradient boosting (gbm), extreme gradient boosting (xgbTree) in an attempt to develop a model for predicting the student’s performance of a private university at Meghalaya using three categories of data namely demographic, prior academic record, personality. The collected data are found to be highly imbalanced and also consists of missing values. We employ k-nearest neighbor (knn) data imputation technique to tackle the missing values. The models are developed on the imputed data with 10 fold cross validation technique and are evaluated using precision, specificity, recall, kappa metrics. As the data are imbalanced, we avoid using accuracy as the metrics of evaluating the model and instead use balanced accuracy and F-score. We compare the ensemble technique with single classifier C4.5. The best result is provided by random forest and adaboost with F-score of 66.67%, balanced accuracy of 75%, and accuracy of 96.94%.

scholarly journals Machine learning as a successful approach for predicting complex spatio–temporal patterns in animal species abundance

2021 ◽  
pp. 289-301
Author(s):  
B. Martín ◽  
J. González–Arias ◽  
J. A. Vicente–Vírseda
Keyword(s):  
Machine Learning ◽  
Random Forest ◽  
Animal Species ◽  
Temporal Patterns ◽  
Additive Models ◽  
Gradient Boosting ◽  
Support Vector ◽  
Stochastic Gradient Boosting ◽  
Extreme Gradient Boosting ◽  
Spatio Temporal

Our aim was to identify an optimal analytical approach for accurately predicting complex spatio–temporal patterns in animal species distribution. We compared the performance of eight modelling techniques (generalized additive models, regression trees, bagged CART, k–nearest neighbors, stochastic gradient boosting, support vector machines, neural network, and random forest –enhanced form of bootstrap. We also performed extreme gradient boosting –an enhanced form of radiant boosting– to predict spatial patterns in abundance of migrating Balearic shearwaters based on data gathered within eBird. Derived from open–source datasets, proxies of frontal systems and ocean productivity domains that have been previously used to characterize the oceanographic habitats of seabirds were quantified, and then used as predictors in the models. The random forest model showed the best performance according to the parameters assessed (RMSE value and R2). The correlation between observed and predicted abundance with this model was also considerably high. This study shows that the combination of machine learning techniques and massive data provided by open data sources is a useful approach for identifying the long–term spatial–temporal distribution of species at regional spatial scales.

scholarly journals Mapping of the Canopy Openings in Mixed Beech–Fir Forest at Sentinel-2 Subpixel Level Using UAV and Machine Learning Approach

2020 ◽  
Vol 12 (23) ◽  
pp. 3925
Author(s):  
Ivan Pilaš ◽  
Mateo Gašparović ◽  
Alan Novkinić ◽  
Damir Klobučar
Keyword(s):  
Machine Learning ◽  
Forest Canopy ◽  
Vegetation Index ◽  
Predictive Performance ◽  
Spatial Extent ◽  
Gradient Boosting ◽  
Support Vector ◽  
Stochastic Gradient Boosting ◽  
Extreme Gradient Boosting ◽  
Sentinel 2

The presented study demonstrates a bi-sensor approach suitable for rapid and precise up-to-date mapping of forest canopy gaps for the larger spatial extent. The approach makes use of Unmanned Aerial Vehicle (UAV) red, green and blue (RGB) images on smaller areas for highly precise forest canopy mask creation. Sentinel-2 was used as a scaling platform for transferring information from the UAV to a wider spatial extent. Various approaches to an improvement in the predictive performance were examined: (I) the highest R2 of the single satellite index was 0.57, (II) the highest R2 using multiple features obtained from the single-date, S-2 image was 0.624, and (III) the highest R2 on the multitemporal set of S-2 images was 0.697. Satellite indices such as Atmospherically Resistant Vegetation Index (ARVI), Infrared Percentage Vegetation Index (IPVI), Normalized Difference Index (NDI45), Pigment-Specific Simple Ratio Index (PSSRa), Modified Chlorophyll Absorption Ratio Index (MCARI), Color Index (CI), Redness Index (RI), and Normalized Difference Turbidity Index (NDTI) were the dominant predictors in most of the Machine Learning (ML) algorithms. The more complex ML algorithms such as the Support Vector Machines (SVM), Random Forest (RF), Stochastic Gradient Boosting (GBM), Extreme Gradient Boosting (XGBoost), and Catboost that provided the best performance on the training set exhibited weaker generalization capabilities. Therefore, a simpler and more robust Elastic Net (ENET) algorithm was chosen for the final map creation.

scholarly journals SGB-ELM: An Advanced Stochastic Gradient Boosting-Based Ensemble Scheme for Extreme Learning Machine

2018 ◽  
Vol 2018 ◽  
pp. 1-14
Author(s):  
Hua Guo ◽  
Jikui Wang ◽  
Wei Ao ◽  
Yulin He
Keyword(s):  
Extreme Learning Machine ◽  
Ensemble Methods ◽  
Stochastic Gradient ◽  
Gradient Boosting ◽  
Output Layer ◽  
Optimal Output ◽  
Stochastic Gradient Boosting ◽  
Derivation Formula ◽  
Boosting Method ◽  
Learning Machine

A novel ensemble scheme for extreme learning machine (ELM), named Stochastic Gradient Boosting-based Extreme Learning Machine (SGB-ELM), is proposed in this paper. Instead of incorporating the stochastic gradient boosting method into ELM ensemble procedure primitively, SGB-ELM constructs a sequence of weak ELMs where each individual ELM is trained additively by optimizing the regularized objective. Specifically, we design an objective function based on the boosting mechanism where a regularization item is introduced simultaneously to alleviate overfitting. Then the derivation formula aimed at solving the output-layer weights of each weak ELM is determined using the second-order optimization. As the derivation formula is hard to be analytically calculated and the regularized objective tends to employ simple functions, we take the output-layer weights learned by the current pseudo residuals as an initial heuristic item and thus obtain the optimal output-layer weights by using the derivation formula to update the heuristic item iteratively. In comparison with several typical ELM ensemble methods, SGB-ELM achieves better generalization performance and predicted robustness, which demonstrates the feasibility and effectiveness of SGB-ELM.

scholarly journals Machine learning prediction of particle-size distribution from infrared spectra, methodologies and soil features

2020 ◽  
Author(s):  
Elizabeth J. Parent ◽  
Serge-É. Parent ◽  
Léon E. Parent
Keyword(s):  
Machine Learning ◽  
Particle Size ◽  
Particle Size Distribution ◽  
Soil Carbon ◽  
Size Distribution ◽  
Gradient Boosting ◽  
Blue Color ◽  
Soil Features ◽  
Stochastic Gradient Boosting ◽  
Log Ratio

AbstractAccuracy of infrared (IR) models to measure soil particle-size distribution (PSD) depends on soil preparation, methodology (sedimentation, laser), settling times and relevant soil features. Compositional soil data may require log ratio (ilr) transformation to avoid numerical biases. Machine learning can relate numerous independent variables that may impact on NIR spectra to assess particle-size distribution. Our objective was to reach high IRS prediction accuracy across a large range of PSD methods and soil properties. A total of 1298 soil samples from eastern Canada were IR-scanned. Spectra were processed by Stochastic Gradient Boosting (SGB) to predict sand, silt, clay and carbon. Slope and intercept of the log-log relationships between settling time and suspension density function (SDF) (R2 = 0.84-0.92) performed similarly to NIR spectra using either ilr-transformed (R2 = 0.81-0.93) or raw percentages (R2 = 0.76-0.94). Settling times of 0.67-min and 2-h were the most accurate for NIR predictions (R2 = 0.49-0.79). The NIR prediction of sand sieving method (R2 = 0.66) was more accurate than Bouyoucos (R2 = 0.53). The NIR 2X gain was less accurate (R2 = 0.69-0.92) than 4X (R2 = 0.87-0.95). The MIR (R2 = 0.45-0.80) performed better than NIR (R2 = 0.40-0.71) spectra. Adding soil carbon, reconstituted bulk density, pH, red-green-blue color, oxalate and Mehlich3 extracts returned R2 value of 0.86-0.91 for texture prediction. In addition to slope and intercept of the SDF, 4X gain, method and pre-treatment classes, soil carbon and color appeared to be promising features for routine SGB-processed NIR particle-size analysis.Soil Classification (Soil Taxonomy): Inceptisols, Spodosols

scholarly journals Reliable photometric membership (RPM) of galaxies in clusters – I. A machine learning method and its performance in the local universe

2020 ◽  
Vol 493 (3) ◽  
pp. 3429-3441
Author(s):  
Paulo A A Lopes ◽  
André L B Ribeiro
Keyword(s):  
Machine Learning ◽  
Galaxy Evolution ◽  
Large Scale ◽  
Machine Learning Techniques ◽  
Gradient Boosting ◽  
Support Vector ◽  
Validation Data ◽  
Membership Probability ◽  
Cluster Membership ◽  
Stochastic Gradient Boosting

ABSTRACT We introduce a new method to determine galaxy cluster membership based solely on photometric properties. We adopt a machine learning approach to recover a cluster membership probability from galaxy photometric parameters and finally derive a membership classification. After testing several machine learning techniques (such as stochastic gradient boosting, model averaged neural network and k-nearest neighbours), we found the support vector machine algorithm to perform better when applied to our data. Our training and validation data are from the Sloan Digital Sky Survey main sample. Hence, to be complete to $M_r^* + 3$, we limit our work to 30 clusters with $z$phot-cl ≤ 0.045. Masses (M200) are larger than $\sim 0.6\times 10^{14} \, \mathrm{M}_{\odot }$ (most above $3\times 10^{14} \, \mathrm{M}_{\odot }$). Our results are derived taking in account all galaxies in the line of sight of each cluster, with no photometric redshift cuts or background corrections. Our method is non-parametric, making no assumptions on the number density or luminosity profiles of galaxies in clusters. Our approach delivers extremely accurate results (completeness, C $\sim 92{\rm{ per\ cent}}$ and purity, P $\sim 87{\rm{ per\ cent}}$) within R200, so that we named our code reliable photometric membership. We discuss possible dependencies on magnitude, colour, and cluster mass. Finally, we present some applications of our method, stressing its impact to galaxy evolution and cosmological studies based on future large-scale surveys, such as eROSITA, EUCLID, and LSST.

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