embedded.blocks |
Embedded blocks regression |
ensemble.blocks |
Ensemble blocks regression |
heterogeneity |
Testing heterogeneity of the LGD rating model |
homogeneity |
Testing homogeneity of the LGD rating model |
interaction.transformer |
Extract risk factors interaction from decision tree |
kfold.idx |
Indices for K-fold validation |
kfold.vld |
K-fold model cross-validation |
lgd.ds.c |
Synthetic modeling dataset |
r.squared |
Coefficient of determination |
rf.interaction.transformer |
Extract interactions from random forest |
sc.merge |
Special case merging procedure |
staged.blocks |
Staged blocks regression |
stepFWD |
Customized stepwise (OLS & fractional logistic) regression with p-value and trend check |
stepRPC |
Stepwise (OLS & fractional logistic) regression based on risk profile concept |