Tuning Data Mining Methods for Cost-Sensitive Regression: A Study in Loan Charge-Off Forecasting

@article{Bansal2009TuningDM,
  title={Tuning Data Mining Methods for Cost-Sensitive Regression: A Study in Loan Charge-Off Forecasting},
  author={Gaurav Bansal and Atish P. Sinha and Huimin Zhao},
  journal={J. of Management Information Systems},
  year={2009},
  volume={25},
  pages={315-336}
}
real-world predictive data mining (classification or regression) problems are often cost sensitive, meaning that different types of prediction errors are not equally costly. While cost-sensitive learning methods for classification problems have been extensively studied recently, cost-sensitive regression has not been adequately addressed in the data mining literature yet. In this paper, we first advocate the use of average misprediction cost as a measure for assessing the performance of a cost… CONTINUE READING

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