time.series.gini: Univariate Gini

In ayhandis/creditR: A Credit Risk Scoring and Validation Package

Description

This function performs the calculation of the Gini (by time) from the estimated values calculated by logistic regression for a given data set. It should be noted that the Gini values calculated by logistic regression.

Usage

## S3 method for class 'series.gini'
time(data, default_flag, PD, time)

Arguments

data	A data set needs to be specified.
default_flag	The default flag need to specified as string.
PD	The PD variable need to be specified as string
time	The time variable need to be specified as string

Examples

default_f <- c('1','0','0', '1','1','0','0','1','1')
birth_year <- c(1980, 1985, 1971,1971,1985,1971,1980,1980,1985)
job <- c(1,1,2, 2,2,3,3,2,3)
pd <- c(0.5, 0.2,0.4,0.5,0.7,0.9,0.2,0.3,0.3,0.6)
example_data <- data.frame(default_f,birth_year,job, pd)
time.series.gini(example_data, "default_f","pd","birth_year")

ayhandis/creditR documentation built on May 9, 2019, 8:41 a.m.