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上市公司财务预警的T逻辑回归模型

上市公司财务预警的T逻辑回归模型

ISSN:1674-8085
2015年第2期
数理科学

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。

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.

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ISSN:1674-8085
2015年第2期
数理科学

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