Non-parametric Predictive Inference for the Validation of Credit Rating Systems
Non-parametric Predictive Inference for the Validation of Credit Rating Systems is a scholarly work, published in 2018 in ''Journal of the Royal Statistical Society, Series A (Statistics in Society)''. The main subjects of the publication include parametric statistics, econometrics, Predictive inference, frequentist inference, artificial intelligence, predictive power, credit risk, receiver operating characteristic, statistics, glossary of archaeology, credit rating, bankruptcy prediction, machine learning, inference, and computer science. The aim of the paper is to introduce non-parametric predictive inference for ROC analysis within a banking context, for which novel results on ROC hypersurfaces for more than three groups are presented.