Bayesian Classification Trees with Overlapping Leaves Applied to Credit Scoring

Dr. Gerhard Paass

German National Research Center for Information Technology
(GMD), St. Augustin/Bonn, Germany

March 15, 1999 3:00 pm

We develop a Bayesian procedure for classification with trees by switching between different model structures. For classification trees with overlap we use a Markov chain Monte Carlo procedure to produce an ensemble of trees which allow the assessment of prediction uncertainty and the value of new information. The approach is applied to a large credit scoring application.

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