| 徐征,刘遵雄.上市公司财务预警的T逻辑回归模型[J].井冈山大学自然版,2015,(2):6-10 |
| 上市公司财务预警的T逻辑回归模型 |
| FINANCIAL EARLY-WARNING MODEL OF LISTED COMPANIES USING T-LOGISTIC REGRESSION |
| 投稿时间：2014-11-17 修订日期：2015-01-20 |
| DOI：10.3969/j.issn.1674-8085.2015.02.002 |
| 中文关键词: 财务危机预警 正则化技术 T-逻辑回归 过拟合 非凸损失函数 |
| 英文关键词: financial early-warning model regularization technique financial T-logistic regression over fitting non-convex loss function |
| 基金项目:国家自然科学基金项目(61065003);教育部人文社会科学研究项目(13YJC630192);华东交通大学校立科研课题(09DQ04) |
|
| 摘要点击次数: 2176 |
| 全文下载次数: 2884 |
| 中文摘要: |
| 针对经典的逻辑回归模型易受到样本类别噪声干扰的问题,采用T 逻辑回归算法中的非凸损失函数以弥补这一不足。对T 逻辑回归模型及求解算法进行了分析,建立T 逻辑回归财务预警模型,并结合沪深上市公司财务数据开展实证分析,结果表明T 逻辑回归模型具有较好的分类效果和鲁棒性。 |
| 英文摘要: |
| The classic logistic regression has the risk of over fitting. It can be solved by the regularization technique of the statistical learning theory. Optimization of convex loss function can ensure that the regularized risk minimization problem converges to the global optimum, but learning algorithm of convex loss function is susceptible to noise. Then T-logistic regression was proposed to amend, introducing T distribution into logistic regression. The non-convex loss function is made up for the deficiency of convex loss functions. Due to the non-convex loss function difficulty to solve, we will be logarithmic the objective function, and convex multiplicative programming is used to solver parameters. Through empirical study, it is found that T-logistic regression model has a good predictability and is tolerant to label noise. |
|
查看全文
查看/发表评论 下载PDF阅读器 |
| 关闭 |
