Frontiers in Applied Mathematics and Statistics最新文献_第8页

Stabilizing machine learning models with Age-Period-Cohort inputs for scoring and stress testing 稳定机器学习模型与年龄-时期-队列输入评分和压力测试

IF 1.4

Frontiers in Applied Mathematics and Statistics Pub Date : 2023-06-08 DOI: 10.3389/fams.2023.1195810

J. Breeden, Ye. A. Leonova

{"title":"Stabilizing machine learning models with Age-Period-Cohort inputs for scoring and stress testing","authors":"J. Breeden, Ye. A. Leonova","doi":"10.3389/fams.2023.1195810","DOIUrl":"https://doi.org/10.3389/fams.2023.1195810","url":null,"abstract":"Machine learning models have been used extensively for credit scoring, but the architectures employed suffer from a significant loss in accuracy out-of-sample and out-of-time. Further, the most common architectures do not effectively integrate economic scenarios to enable stress testing, cash flow, or yield estimation. The present research demonstrates that providing lifecycle and environment functions from Age-Period-Cohort analysis can significantly improve out-of-sample and out-of-time performance as well as enabling the model's use in both scoring and stress testing applications. This method is demonstrated for behavior scoring where account delinquency is one of the provided inputs, because behavior scoring has historically presented the most difficulties for combining credit scoring and stress testing. Our method works well in both origination and behavior scoring. The results are also compared to multihorizon survival models, which share the same architectural design with Age-Period-Cohort inputs and coefficients that vary with forecast horizon, but using a logistic regression estimation of the model. The analysis was performed on 30-year prime conforming US mortgage data. Nonlinear problems involving large amounts of alternate data are best at highlighting the advantages of machine learning. Data from Fannie Mae and Freddie Mac is not such a test case, but it serves the purpose of comparing these methods with and without Age-Period-Cohort inputs. In order to make a fair comparison, all models are given a panel structure where each account is observed monthly to determine default or non-default.","PeriodicalId":36662,"journal":{"name":"Frontiers in Applied Mathematics and Statistics","volume":" ","pages":""},"PeriodicalIF":1.4,"publicationDate":"2023-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47077486","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Bayesian synthetic likelihood for stochastic models with applications in mathematical finance 随机模型的贝叶斯综合似然及其在数学金融中的应用

IF 1.4

Frontiers in Applied Mathematics and Statistics Pub Date : 2023-06-05 DOI: 10.3389/fams.2023.1187878

R. Maraia, Sebastian Springer, Teemu Härkönen, M. Simon, H. Haario

引用次数: 0

MAD (about median) vs. quantile-based alternatives for classical standard deviation, skewness, and kurtosis MAD(关于中位数)vs.基于分位数的经典标准差、偏度和峰度的替代方法

IF 1.4

Frontiers in Applied Mathematics and Statistics Pub Date : 2023-06-02 DOI: 10.3389/fams.2023.1206537

E. Pinsky, S. Klawansky

{"title":"MAD (about median) vs. quantile-based alternatives for classical standard deviation, skewness, and kurtosis","authors":"E. Pinsky, S. Klawansky","doi":"10.3389/fams.2023.1206537","DOIUrl":"https://doi.org/10.3389/fams.2023.1206537","url":null,"abstract":"In classical probability and statistics, one computes many measures of interest from mean and standard deviation. However, mean, and especially standard deviation, are overly sensitive to outliers. One way to address this sensitivity is by considering alternative metrics for deviation, skewness, and kurtosis using mean absolute deviations from the median (MAD). We show that the proposed measures can be computed in terms of the sub-means of the appropriate left and right sub-ranges. They can be interpreted in terms of average distances of values of these sub-ranges from their respective medians. We emphasize that these measures utilize only the first-order moment within each sub-range and, in addition, are invariant to translation or scaling. The obtained formulas are similar to the quantile measures of deviation, skewness, and kurtosis but involve computing sub-means as opposed to quantiles. While the classical skewness can be unbounded, both the MAD-based and quantile skewness always lies in the range [−1, 1]. In addition, while both the classical kurtosis and quantile-based kurtosis can be unbounded, the proposed MAD-based alternative for kurtosis lies in the range [0, 1]. We present a detailed comparison of MAD-based, quantile-based, and classical metrics for the six well-known theoretical distributions considered. We illustrate the practical utility of MAD-based metrics by considering the theoretical properties of the Pareto distribution with high concentrations of density in the upper tail, as might apply to the analysis of wealth and income. In summary, the proposed MAD-based alternatives provide a universal scale to compare deviation, skewness, and kurtosis across different distributions.","PeriodicalId":36662,"journal":{"name":"Frontiers in Applied Mathematics and Statistics","volume":" ","pages":""},"PeriodicalIF":1.4,"publicationDate":"2023-06-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42514155","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Mathematical modeling for the control of fly-borne mastitis disease in cattle 牛蝇传乳腺炎疾病控制的数学模型

IF 1.4

Frontiers in Applied Mathematics and Statistics Pub Date : 2023-06-01 DOI: 10.3389/fams.2023.1171157

Moses Olayemi Adeyemi, T. O. Oluyo

{"title":"Mathematical modeling for the control of fly-borne mastitis disease in cattle","authors":"Moses Olayemi Adeyemi, T. O. Oluyo","doi":"10.3389/fams.2023.1171157","DOIUrl":"https://doi.org/10.3389/fams.2023.1171157","url":null,"abstract":"Several diseases cause losses in cattle farming, especially in the dairy industry among which mastitis disease (Bovine mastitis) is the leading cause of health and economic damages globally as it results in animals' ill health and reduced quality and quantity of milk produced by infected cows. Some mathematical studies have been conducted that focused on mastitis transmission from one udder-quarter to another in an infected cow, even though clinical studies established the cow–cow and flies–cow transmissions. The present study, therefore, proposed a mathematical model for the control of mastitis disease in cattle in the presence of flies as vectors. The formulated model was shown to have non-negative solutions in feasible regions for both cattle and flies populations. Furthermore, the model has a stable disease-free equilibrium if the sum of the effective reproduction numbers for cattle–cattle and fly–cattle transmissions (ℜch and ℜch) is less than unity, and there is a possibility of multiple endemic equilibria if otherwise. The numerical results indicated that the infectious populations can be reduced if the rates of the control parameters are increased, thereby curtailing or eradicating mastitis in the cattle population.","PeriodicalId":36662,"journal":{"name":"Frontiers in Applied Mathematics and Statistics","volume":" ","pages":""},"PeriodicalIF":1.4,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44638763","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Editorial: Advances in data-driven approaches and modeling of complex systems 社论：数据驱动方法和复杂系统建模的进展

IF 1.4

Frontiers in Applied Mathematics and Statistics Pub Date : 2023-05-25 DOI: 10.3389/fams.2023.1215077

M. H. Mohd, T. Nguyen-Huu, Junpyo Park, J. Addawe, H. Haga

引用次数: 0

Editorial: Mathematical and empirical foundations of models of consciousness 社论:意识模型的数学和经验基础

IF 1.4

Frontiers in Applied Mathematics and Statistics Pub Date : 2023-05-22 DOI: 10.3389/fams.2023.1214939

X. Arsiwalla, Johannes Kleiner, S. Tull, Pedro Resende, Kobi Kremnitzer

引用次数: 0

Thermal Timoshenko beam system with suspenders and Kelvin–Voigt damping 带吊杆和Kelvin-Voigt阻尼的Timoshenko热梁系统

IF 1.4

Frontiers in Applied Mathematics and Statistics Pub Date : 2023-05-19 DOI: 10.3389/fams.2023.1153071

S. E. Mukiawa, Yasir Khan, Hamdan Al Sulaimani, M. Omaba, C. Enyi

引用次数: 2

Optimal vaccination control for COVID-19 in a metapopulation model: a case of the Philippines 集合人口模型中新冠肺炎疫苗接种的最佳控制：菲律宾的一例

IF 1.4

Frontiers in Applied Mathematics and Statistics Pub Date : 2023-05-18 DOI: 10.3389/fams.2023.1154634

Randy L. Caga-anan, Jead M. Macalisang, John Lemuel M. Dalisay, M. Raza, J. Martinez, J. P. Arcede

引用次数: 0

Controllability of Hilfer fractional Langevin evolution equations Hilfer分数阶Langevin演化方程的可控性

IF 1.4

Frontiers in Applied Mathematics and Statistics Pub Date : 2023-05-18 DOI: 10.3389/fams.2023.1191661

Haihua Wang, Junhua Ku

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Modeling visceral leishmaniasis and tuberculosis co-infection dynamics 模拟内脏利什曼病和肺结核合并感染动力学

IF 1.4

Frontiers in Applied Mathematics and Statistics Pub Date : 2023-05-15 DOI: 10.3389/fams.2023.1153666

O. Egbelowo, J. Munyakazi, P. Dlamini, F. Osaye, S. Simelane

{"title":"Modeling visceral leishmaniasis and tuberculosis co-infection dynamics","authors":"O. Egbelowo, J. Munyakazi, P. Dlamini, F. Osaye, S. Simelane","doi":"10.3389/fams.2023.1153666","DOIUrl":"https://doi.org/10.3389/fams.2023.1153666","url":null,"abstract":"The co-infection of visceral leishmaniasis (VL) and tuberculosis (TB) patients pose a major public health challenge. In this study, we develop a mathematical model to study the transmission dynamics of VL and TB co-infection by first analyzing the VL and TB sub-models separately. The dynamics of these sub-models and the full co-infection model are determined based on the reproduction number. When the associated reproduction number (R1) for the TB-only model and (R2) for the VL-only are less than unity, the model exhibits backward bifurcation. If max{R1,R2}=R1, then the TB-VL co-infection model exhibits backward bifurcation for values of R1. Furthermore, if max{R1,R2}=R2, and by choosing the transmission probability, βL as the bifurcation parameter, then the phenomenon of backward bifurcation occurs for values of R2. Consequently, the full model, whose associated reproduction number is R0, also exhibits backward bifurcation when R0=1. The equilibrium points and their stability for the models are determined and analyzed based on the magnitude of the respective reproduction numbers. Finally, some numerical simulations are presented to show the reliability of our theoretical results.","PeriodicalId":36662,"journal":{"name":"Frontiers in Applied Mathematics and Statistics","volume":" ","pages":""},"PeriodicalIF":1.4,"publicationDate":"2023-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42517867","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0