An Application of Monte-Carlo-Based Sensitivity Analysis on the Overlap in Discriminant Analysis
Discriminant analysis (DA) is used for the measurement of estimates of a discriminant function by minimizing their group misclassifications to predict group membership of newly sampled data. A major source of misclassification in DA is due to the overlapping of groups. The uncertainty in the input v...
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| Format: | Article |
| Language: | English |
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Wiley
2012-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2012/315868 |
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| author | S. Razmyan F. Hosseinzadeh Lotfi |
| author_facet | S. Razmyan F. Hosseinzadeh Lotfi |
| author_sort | S. Razmyan |
| collection | DOAJ |
| description | Discriminant analysis (DA) is used for the measurement of estimates of a discriminant function by minimizing their group misclassifications to predict group membership of newly sampled data. A major source of misclassification in DA is due to the overlapping of groups. The uncertainty in the input variables and model parameters needs to be properly characterized in decision making. This study combines DEA-DA with a sensitivity analysis approach to an assessment of the influence of banks’ variables on the overall variance in overlap in a DA in order to determine which variables are most significant. A Monte-Carlo-based sensitivity analysis is considered for computing the set of first-order sensitivity indices of the variables to estimate the contribution of each uncertain variable. The results show that the uncertainties in the loans granted and different deposit variables are more significant than uncertainties in other banks’ variables in decision making. |
| format | Article |
| id | doaj-art-92c1ec19584446cb8c7849a00ebaf69f |
| institution | Kabale University |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2012-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-92c1ec19584446cb8c7849a00ebaf69f2025-02-03T06:00:28ZengWileyJournal of Applied Mathematics1110-757X1687-00422012-01-01201210.1155/2012/315868315868An Application of Monte-Carlo-Based Sensitivity Analysis on the Overlap in Discriminant AnalysisS. Razmyan0F. Hosseinzadeh Lotfi1Department of Mathematics, Science and Research Branch, Islamic Azad University, Tehran, IranDepartment of Mathematics, Science and Research Branch, Islamic Azad University, Tehran, IranDiscriminant analysis (DA) is used for the measurement of estimates of a discriminant function by minimizing their group misclassifications to predict group membership of newly sampled data. A major source of misclassification in DA is due to the overlapping of groups. The uncertainty in the input variables and model parameters needs to be properly characterized in decision making. This study combines DEA-DA with a sensitivity analysis approach to an assessment of the influence of banks’ variables on the overall variance in overlap in a DA in order to determine which variables are most significant. A Monte-Carlo-based sensitivity analysis is considered for computing the set of first-order sensitivity indices of the variables to estimate the contribution of each uncertain variable. The results show that the uncertainties in the loans granted and different deposit variables are more significant than uncertainties in other banks’ variables in decision making.http://dx.doi.org/10.1155/2012/315868 |
| spellingShingle | S. Razmyan F. Hosseinzadeh Lotfi An Application of Monte-Carlo-Based Sensitivity Analysis on the Overlap in Discriminant Analysis Journal of Applied Mathematics |
| title | An Application of Monte-Carlo-Based Sensitivity Analysis on the Overlap in Discriminant Analysis |
| title_full | An Application of Monte-Carlo-Based Sensitivity Analysis on the Overlap in Discriminant Analysis |
| title_fullStr | An Application of Monte-Carlo-Based Sensitivity Analysis on the Overlap in Discriminant Analysis |
| title_full_unstemmed | An Application of Monte-Carlo-Based Sensitivity Analysis on the Overlap in Discriminant Analysis |
| title_short | An Application of Monte-Carlo-Based Sensitivity Analysis on the Overlap in Discriminant Analysis |
| title_sort | application of monte carlo based sensitivity analysis on the overlap in discriminant analysis |
| url | http://dx.doi.org/10.1155/2012/315868 |
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