Invariant properties of logistic regression model in credit scoring under monotonic transformations

Guoping Zeng

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 17, 8791-8807

Abstract: Monotonic transformations of explanatory continuous variables are often used to improve the fit of the logistic regression model to the data. However, no analytic studies have been done to study the impact of such transformations. In this paper, we study invariant properties of the logistic regression model under monotonic transformations. We prove that the maximum likelihood estimates, information value, mutual information, Kolmogorov–Smirnov (KS) statistics, and lift table are all invariant under certain monotonic transformations.

Date: 2017
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DOI: 10.1080/03610926.2016.1193200

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