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Optimal Thresholds from Non-Normal Mixture
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 Title & Authors
Optimal Thresholds from Non-Normal Mixture
Hong, Chong-Sun; Joo, Jae-Seon;
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 Abstract
From a mixture distribution of the score random variable for credit evaluation, there are many methods of estimating optimal thresholds. Most the research news is based on the assumption of normal distributions. In this paper, we extend non-normal distributions such as Weibull, Logistic and Gamma distributions to estimate an optimal threshold by using a hypotheses test method and other methods maximizing the total accuracy and the true rate. The type I and II errors are obtained and compared with their sums. Finally we discuss their e ciency and derive conclusions for non-normal distributions.
 Keywords
Credit;default;discriminatory;evaluation;optimal threshold;total accuracy;true rate;
 Language
Korean
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