CLASSIFICATION AND DISCRIMINATION IN THE ANALYSIS OF CREDIT RISKS: II.
CARNEGIE-MELLON UNIV PITTSBURGH PA MANAGEMENT SCIENCES RESEARCH GROUP
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The report introduces a decision-theoretic approach to the problem of discriminating among several categories of credit risks. Bayesian decision rules are discussed and illustrated by a numerical example. Limitations of linear discriminant methods are pointed out. Practical problems concerning the unbiased testing of classification rules, the discriminations of rare patterns and the updating of the available statistical information are also discussed. The report concludes with a brief treatment of new approaches to sequential classification. Author
- Economics and Cost Analysis
- Operations Research