Addressing the multigroup discriminant problem using multivariate statistics and mathematical programming

European Journal of Operational Research

Volumn 108, Issue 1, 1998, Pages 224-237

  Östermark, Ralf ^a   Höglund, Rune ^a  

^a ÅBO AKADEMI UNIVERSITY   (Finland)

Author keywords

Classification; Mathematical programming; Monte Carlo simulations; Multivariate statistics

Indexed keywords

COMPUTER SIMULATION; ERROR ANALYSIS; LINEAR PROGRAMMING; MATHEMATICAL PROGRAMMING; MONTE CARLO METHODS; PERFORMANCE; STATISTICAL METHODS;

MULTIGROUP DISCRIMINANT PROBLEM; MULTIPLE LINEAR DISCRIMINANT ANALYSIS; MULTIPLE QUADRATIC DISCRIMINANT ANALYSIS; MULTIVARIATE ANALYSIS OF VARIANCE; RECURSIVE PARTITIONING;

OPERATIONS RESEARCH;

EID: 0032123128     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-2217(96)00360-8     Document Type: Article

References (30)

1. Altman, E.T. (1968), "Financial ratios, discriminant analysis and the prediction of corporate bankruptcy", Journal of Finance, September, 589-609.
2. Anderson, T.W. (1984), An Introduction to Multivariate Statistical Analysis (2nd ed.), Wiley, New York.
3. Baestaens, D.-E. (1992), "Distributional analysis to model corporate fitness", Working Paper, presented at EURO XII/TIMS XXXI Joint International Conference, Helsinki, Finland, June 29-July 1.
4. Deakin, E. (1972), "A discriminant analysis of predictors of business failure", Journal of Accounting Research, Spring, 167-179.
5. Dhrymes, P. (1974), Econometrics, Springer-Verlag, New-York.
6. Diamond, H., Jr. (1976), "Pattern recognition and the detection of corporate failure", Ph.D. Thesis, New York University.
7. Duarte Silva, A.P., and Stam, A. (1994), "Second order mathematical programming formulations for discriminant analysis", European Journal of Operational Research 72, 4-22.
8. Fisher, R.A. (1936), "The use of multiple measurements in taxonomic problems", Ann. Eugen. 7, 179-188.
9. Freed, N., and Glover, F. (1981), "Simple but powerful goal programming models for discriminant problems", European Journal of Operational Research 7, 44-60.
10. Freed, N., and Glover, F. (1986), "Evaluating alternative linear programming models to solve the two-group discriminant problem", Decision Sciences 17, 151-162.
11. Friedman, J.H. (1977), "A recursive partitioning decision rule for non-parametric classification", IEEE Transactions on Computers, April, 404-408.
12. Frydman, H., Altman, E.T., and Kao, D.L. (1985), "Introducing recursive partitioning for financial classification: The case of financial distress", The Journal of Finance 40/1, 269-291.
13. Gochet, W., Srinivasan, V., Stam, A., and Chen, S. (1996), "Multigroup discriminant analysis using linear programming", Operations Research, forthcoming.
14. Hand, D.J. (1981), Discrimination and Classification, Wiley, New York.
15. Hosseini, J.H., and Armacost, R.L. (1994), "The two-group discriminant problem with equal group mean vectors: An experimental evaluation of six linear/nonlinear programming formulations", European Journal of Operational Research 77, 241-252.
16. IMSL STAT/Library (1987), "FORTRAN subroutines for statistical analysis", IMSL Inc., USA, 1987.
17. Joy, M.O., and Tollefson, J.O. (1975), "On the financial application of discriminant analysis", Journal of Financial and Quantitative Analysis 10, 723-739.
18. Karels, G.V., and Prakash, A. (1987), "Multivariate normality and forecasting of business bankruptcy", Journal of Business Finance and Accounting 14, 573-593.
19. Kendall, M., and Stuart, A. (1968), Advanced Theory of Statistics 3, (2nd ed.), Griffin, London.
20. Klecka, W.R. (1981), Discriminant Analysis, Sage University paper series quantitative applications in the social sciences, 19, Beverly Hills and London, Sage Publications.
21. Lachenbruch, P. (1975), Discriminant Analysis, Hafner, New York.
22. Lau, A.H.-L. (1987), "A five-state financial distress prediction model", Journal of Accounting Research 25/1, 127-138.
23. Morrison, D.F. (1967), Multivariate Statistical Methods, McGraw-Hill, New York.
24. Ragsdale, C.T., and Stam, A. (1991), "Mathematical programming formulations for the discriminant problem: An old dog does new tricks", Decision Sciences 22/2, 296-307.
25. SPSS (1993), SPSS® for Windows™: Advanced statistics, Release 6.0.
26. Srinivasan, V., and Kim, Y.H. (1987), "Credit cranting: A comparative analysis of classification procedures", Journal of Finance 42/3, 665-683.
27. Stam, A., and Joachimstahler, E.A. (1989), "Solving the classification problem in discriminant analysis via linear and nonlinear programming models", Decision Sciences 20, 285-293.
28. Stam, A., and Ragsdale, C.T. (1992), "On the classification gap in MP-based approaches to the discriminant problem", Naval Research Logistics 39, 545-559,
29. Stoller, D.C. (1954), "Univariate two-population distribution-free discrimination", Journal of American Statistical Association 49, 770-775.
30. Zavgren, C.V. (1983), "The prediction of corporate failure: The state of art", Journal of Accounting Literature 2, 1-38.