View source: R/reclassification.R
reclassification | R Documentation |
This function performs Reject Inference using the Reclassification technique. Note that this technique has no theoretical foundation as it performs a one-step CEM algorithm.
reclassification(xf, xnf, yf, thresh = 0.5)
xf |
The matrix of financed clients' characteristics to be used in the scorecard. |
xnf |
The matrix of not financed clients' characteristics to be used in the scorecard (must be the same in the same order as xf!). |
yf |
The matrix of financed clients' labels |
thresh |
The threshold to use in the Classification step, i.e. the probability above which a not financed client is considered to have a label equal to 1. |
This function performs the Reclassification method on the data. When provided with labeled observations (x^\ell,y)
, it first fits the logistic regression model p_\theta
of
x^\ell
on y
, then considers that unlabeled observations are of the expected class given by the model p_\theta
(this is equivalent to a CEM algorithm).
It then refits a logistic regression model p_\eta
on the whole sample.
List containing the model using financed clients only and the model produced using the Reclassification method.
Adrien Ehrhardt
Enea, M. (2015), speedglm: Fitting Linear and Generalized Linear Models to Large Data Sets, https://CRAN.R-project.org/package=speedglm Ehrhardt, A., Biernacki, C., Vandewalle, V., Heinrich, P. and Beben, S. (2018), Reject Inference Methods in Credit Scoring: a rational review,
glm
, speedglm
# We simulate data from financed clients
xf <- matrix(runif(100 * 2), nrow = 100, ncol = 2)
theta <- c(2, -2)
log_odd <- apply(xf, 1, function(row) theta %*% row)
yf <- rbinom(100, 1, 1 / (1 + exp(-log_odd)))
# We simulate data from not financed clients (MCAR mechanism)
xnf <- matrix(runif(100 * 2), nrow = 100, ncol = 2)
reclassification(xf, xnf, yf)
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