grnn_bin.R

df1 <- read.table("credit_count.txt", header = T, sep = ",")
df2 <- df1[which(df1$CARDHLDR == 1), ]
Y <- df2$DEFAULT
X <- scale(df2[, 3:ncol(df2)])
i <- sample(seq(length(Y)), length(Y) / 2)

# WITHOUT BINNING
Y1 <- Y[i]
Y2 <- Y[-i]
X1 <- X[i, ]
X2 <- X[-i, ]
net11 <- grnn.fit(x = X1, y = Y1)
test1 <- grnn.search_auc(net11, gen_latin(1, 3, 10), nfolds = 4)
# $best
#    sigma       auc
# 2.198381 0.6297201
net12 <- grnn.fit(x = X1, y = Y1, sigma = test1$best$sigma)
MLmetrics::AUC(grnn.parpred(net12, X1), Y1)
# 0.6855638
MLmetrics::AUC(grnn.parpred(net12, X2), Y2)
# 0.6555798

# WITH BINNING
df3 <- data.frame(df2[, 3:ncol(df2)], Y)
bin_out <- batch_bin(df3, method = 3)
df_woe <- batch_woe(df3, bin_out$BinLst)
W <- scale(df_woe$df[, -1])
W1 <- W[i, ]
W2 <- W[-i, ]
net21 <- grnn.fit(x = W1, y = Y1)
test2 <- grnn.search_auc(net21, gen_latin(1, 3, 10), nfolds = 4)
# $best
#    sigma       auc
# 2.198381 0.6820317
net22 <- grnn.fit(x = W1, y = Y1, sigma = test2$best$sigma)
MLmetrics::AUC(grnn.parpred(net22, W1), Y1)
# 0.7150051
MLmetrics::AUC(grnn.parpred(net22, W2), Y2)
# 0.6884229

I found your excellent artile from "https://statcompute.wordpress.com/2012/12/30/modeling-in-r-with-log-likelihood-function/" but I have trouble to find the "credit_count.csv" for replication. Could you let me have the file or link for downloading please?

Thank you for your kind word. The data is here http://people.stern.nyu.edu/wgreene/Text/Edition7/TableF7-3.txt.

…

On Wed, May 27, 2020 at 5:26 AM jasepark2 ***@***.***> wrote: ***@***.**** commented on this gist. ------------------------------ I found your excellent artile from " https://statcompute.wordpress.com/2012/12/30/modeling-in-r-with-log-likelihood-function/" but I have trouble to find the "credit_count.csv" for replication. Could you let me have the file or link for downloading please? — You are receiving this because you authored the thread. Reply to this email directly, view it on GitHub <https://gist.github.com/3ceda74ade266bb9d1ee89115ba21833#gistcomment-3319695>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/ABDA2WVU2XUROK6JQ5ARJRLRTTTEJANCNFSM4NL765QA> .

Thank you so much for your kindness. Jase Park On Wed, May 27, 2020 at 11:38 PM WenSui Liu <notifications@github.com> wrote:

…

***@***.**** commented on this gist. ------------------------------ Thank you for your kind word. The data is here http://people.stern.nyu.edu/wgreene/Text/Edition7/TableF7-3.txt. On Wed, May 27, 2020 at 5:26 AM jasepark2 ***@***.***> wrote: > ***@***.**** commented on this gist. > ------------------------------ > > I found your excellent artile from " > https://statcompute.wordpress.com/2012/12/30/modeling-in-r-with-log-likelihood-function/ " > but I have trouble to find the "credit_count.csv" for replication. Could > you let me have the file or link for downloading please? > > — > You are receiving this because you authored the thread. > Reply to this email directly, view it on GitHub > < https://gist.github.com/3ceda74ade266bb9d1ee89115ba21833#gistcomment-3319695 >, > or unsubscribe > < https://github.com/notifications/unsubscribe-auth/ABDA2WVU2XUROK6JQ5ARJRLRTTTEJANCNFSM4NL765QA > > . > — You are receiving this because you commented. Reply to this email directly, view it on GitHub <https://gist.github.com/3ceda74ade266bb9d1ee89115ba21833#gistcomment-3320023>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AFIWQET4SYJE5DUYSRT7NULRTUQWFANCNFSM4NL765QA> .