期刊
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
卷 197, 期 1, 页码 214-224出版社
ELSEVIER
DOI: 10.1016/j.ejor.2008.05.024
关键词
Data mining; Electre; Case-based reasoning; 30-times hold-out method; Financial distress prediction
资金
- National Natural Science Foundation of China [70801055]
- Zhejiang Provincial Natural Science Foundation of China [Y607011]
Electre is an important outranking method developed in the area of decision-aiding. Data mining is a vital developing technique that receives contributions from lots of disciplines such as databases, machine learning, information retrieval, statistics, and so on. Techniques in outranking approaches, e.g. Electre, could also contribute to the development of data mining. In this research, we address the following two issues: a) why and how to combine Electre with case-based reasoning (CBR) to generate corresponding hybrid models by extending the fundamental principles of Electre into CBR; b) the effect on predictive performance by employing evidence vetoing the assertion on the base of evidence supporting the assertion. The similarity measure of CBR is implemented by revising and fulfilling three basic ideas of Electre, i.e. assertion that two cases are indifferent, evidence supporting the assertion, and evidence vetoing the assertion. Two corresponding CBR models are constructed by combining principles of the Electre decision-aiding method with CBR. The first one, named Electre-CBR-I, derives from evidence supporting the assertion. The other one, named Electre-CBR-II, derives from both evidence supporting and evidence vetoing the assertion. Leave-one-out cross-validation and hold-out method are integrated to form 30-times hold-out method. In financial distress mining, data was collected from Shanghai and Shenzhen Stock Exchanges, ANOVA was employed to select features that are significantly different between companies in distress and health, 30-times hold-out method was used to assess predictive performance, and grid-search technique was utilized to search optimal parameters. Original data distributions were kept in the experiment. Empirical results of long-term financial distress prediction with 30 initial financial ratios and 135 initial pairs of samples indicate that Electre-CBR-I outperforms Electre-CBR-II and other comparative CBR models, and Electre-CBR-II outperforms the other comparative CBR models. (C) 2008 Elsevier B.V. All rights reserved.
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