A Confidence-Based RBF Neural Network Ensemble Learning Paradigm with Application to Delinquent Prediction for Credit Risk Management

Abstract

In this study, a multistage confidence-based radial basis function (RBF) neural network ensemble learning model is proposed to design a reliable delinquent prediction system for credit risk management. In the first stage, a bagging sampling approach is used to generate different training datasets. In the second stage, the RBF neural network models are trained using various training datasets from the previous stage. In the third stage, the trained RBF neural network models are applied to the testing dataset and some prediction results and confidence values can be obtained. In the fourth stage, the confidence values are scaled into a unit interval by logistic transformation. In the final stage, the multiple different RBF neural network models are fused to obtain the final prediction results by means of confidence measure. For illustration purpose, two publicly available credit datasets are used to verify the effectiveness of the proposed confidence-based RBF neural network ensemble learning paradigm.