Data Level Approach for Multiclass Imbalance Financial Data

Abstract

In the real world, the class imbalance problem is a common issue in which classifier gives more importance to the majority class whereas less importance to the minority class. In class imbalance, imbalance metrics would not be suitable to evaluate the performance of classifiers with error rate or predictive accuracy. One type of imbalance data -handling method is resampling. In this paper, three resampling methods, oversampling, under-sampling and hybrid, methods are used with different approaches for in class imbalance of two different financial data to see the impact of class imbalance ratios on performance measures of nine different classification algorithms. Aiming to achieve better change classification performance, the performance of the classification algorithms, Bayes Net, Navie Bayes, J48, Random Forest Meta-Attribute Selected Classifier, MetaClassification via Regression, Meta-Logitboost, Logistic Regression, and Decision Tree, are measured on two Canadian Banks multiclass imbalance data with the performance measures, Precision, Recall, ROC Area and Kappa Statistic, by using WEKA software. The outcome of these performance measurements compared with three different resampling methods. The results provide us with a clear picture on the overall impact of class imbalance on the classification dataset and they indicate that proposed resampling methods can also be used for in class imbalance problems