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Books on ADAPTIVEREG and LOESS as applied to Credit Risk

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Books on ADAPTIVEREG and LOESS as applied to Credit Risk

Hello All,

I am interested to learn more about the ADAPTIVE REGRESION (MARS) and LOESS. Is this something that can be applied in credit scoring?

Kindly guide me with some books that I can read to get a clear understanding of these method.

 

Kind regards

Sk

SAS Super FREQ
Posts: 3,483

Re: Books on ADAPTIVEREG and LOESS as applied to Credit Risk

I'd start with the SAS documentation "Introduction to Nonparametric Regression Procedures", then read the individual chapters, especially the Getting Started examples.  

 

In addition to the ADAPTIVEREG and LOESS procedures, you might want to read about the new GAMPL procedure for penalized likelihood ganeralized additive models.  I wrote a blog post that uses GAMPL for nonparametric regression of binary data, which is the statistical technique used in credit scoring.

 

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