| 上市公司财务预警的正则化逻辑回归模型 |
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| 引用本文： | 张恒,秦宾,许金凤.上市公司财务预警的正则化逻辑回归模型[J].华东交通大学学报,2011(6):42-47. |
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| 作者姓名： | 张恒 秦宾 许金凤 |
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| 作者单位： | 华东交通大学信息工程学院 |
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| 基金项目： | 国家自然科学基金项目(61065003);教育部人文社会科学研究规划基金项目(10YJC630379);江西省自然科学基金项目(2010GZS0034) |
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| 摘 要： | 基于统计学习理论的正则化技术构建L1(一范数约束惩罚)正则化的逻辑回归(Logistic Regression)模型,同比建立了logistic回归模型和L2(二范数约束惩罚)正则化的logistic回归模型,结合沪深股市ST公司和正常公司的T-3年和T-2年财务数据进行仿真实验用于上市公司财务预警实证分析.实验结果表...
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| 关 键 词： | 财务预警 L1正则化 逻辑回归 预测精度 |
Regularized Logistic Regression Model in Financial Early-warning System with Listed Companies |
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| Zhang Heng,Qin Bin,Xu Jinfeng.Regularized Logistic Regression Model in Financial Early-warning System with Listed Companies[J].Journal of East China Jiaotong University,2011(6):42-47. |
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| Authors: | Zhang Heng Qin Bin Xu Jinfeng |
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| Institution: | (School of Information Engineering,East China Jiaotong University,Nanchang 330013,China) |
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| Abstract: | L1 norm penalized logistic regression model is proposed based on regularlzatlon tecnnlque or stausncal theory. Logistic regression model and L2 regularized logistic regression model are established. Combining two years＇ financial data of Shanghai-Shenzhen stock ST companies and normal counterparts, simulating experiment is conducted to analyze the financial early-warning system of listed companies. The results demonstrate the good performance and predicting accuracy of L 1 logistic regression model |
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| Keywords: | financial early-warning system L 1 regularization logistic regression accuracy prediction |
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