volume 9, issue 5, P579 2021
DOI: 10.3390/math9050579
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Jessica Pesantez-Narvaez, Montserrat Guillen, Manuela Alcañiz

Abstract: A boosting-based machine learning algorithm is presented to model a binary response with large imbalance, i.e., a rare event. The new method (i) reduces the prediction error of the rare class, and (ii) approximates an econometric model that allows interpretability. RiskLogitboost regression includes a weighting mechanism that oversamples or undersamples observations according to their misclassification likelihood and a generalized least squares bias correction strategy to reduce the prediction error. An illust…

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