Title :
Fuzzy Rough Set and Information Entropy Based Feature Selection for Credit Scoring
Author_Institution :
Sch. of Econ. & Manage., Heilongjiang Inst. of Sci. & Technol., Harbin, China
Abstract :
As the credit industry has been growing rapidly, huge number of consumers´ credit data are collected by the credit department of the bank and credit scoring has become a very important issue. Usually, a large amount of redundant information and features are involved in the credit dataset, which leads to lower accuracy and higher complexity of the credit scoring model, so, effective feature selection methods are necessary for credit dataset with huge number of features. In this paper, a novel approach to credit scoring feature selection based on fuzzy-rough model and information entropy is proposed. Three UCI credit datasets are selected to demonstrate the competitive performance of the presented method comparing with some other methods. Experiments show the proposed method get a better performance comparing with the classical rough set approaches.
Keywords :
entropy; finance; fuzzy set theory; rough set theory; credit industry; credit scoring; feature selection; fuzzy rough set; information entropy; Conference management; Fuzzy sets; Fuzzy systems; Industrial economics; Information entropy; Knowledge management; Risk management; Set theory; Technology management; Waste materials; credit scoring; feature selection; fuzzy rough set; information entropy;
Conference_Titel :
Fuzzy Systems and Knowledge Discovery, 2009. FSKD '09. Sixth International Conference on
Conference_Location :
Tianjin
Print_ISBN :
978-0-7695-3735-1
DOI :
10.1109/FSKD.2009.713