This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
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Activity Number:
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588
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Type:
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Contributed
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Date/Time:
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Wednesday, August 4, 2010 : 2:00 PM to 3:50 PM
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Sponsor:
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Section on Risk Analysis
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| Abstract - #309085 |
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Title:
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Bagged Estimators for Joint Longitudinal and Survival Analysis
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Author(s):
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Harsh Singhal*+
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Companies:
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Bank of America
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Address:
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201 N Tryon Street, Charlotte, NC, 28255,
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Keywords:
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Credit Risk ;
Bagging ;
Joint Longitudinal and Survival Analysis
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Abstract:
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We formulate the joint longitudinal and survival analysis problem in discrete time as a classification problem with clustered observations. This leads to a strong and complex dependence structure within a cluster. In fact all observations belonging to a cluster have identical response. We build a classifier by sub-sampling the observations, picking only one observations from each cluster randomly. Naturally, the variance of this estimator can be reduced through bagging. We apply this technique to forecasting credit loss for a credit card portfolio and present some analytical and empirical results.
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