by David L. Olson (Author), Desheng Wu (Author)
About the Author
David L. Olson is the James & H.K. Stuart Chancellor’s Distinguished Chair and Full Professor at the University of Nebraska. He has published research in over 150 refereed journal articles, primarily on the topic of multiple-objective decision-making, information technology, supply chain risk management, and data mining. He teaches in the management information systems, management science, and operations management areas. He has authored over 20 books and is a member of the Decision Sciences Institute, the Institute for Operations Research and Management Sciences, and the Multiple Criteria Decision Making Society. He was a Lowry Mays endowed Professor at Texas A&M University from 1999 to 2001. He was named the Raymond E. Miles Distinguished Scholar for 2002, and was a James C. and Rhonda Seacrest Fellow from 2005 to 2006. He was named Best Enterprise Information Systems Educator by the IFIP in 2006 and is a Fellow of the Decision Sciences Institute.
Desheng Dash Wu is a distinguished professor at the University of Chinese Academy of Sciences. His research interests include enterprise risk management, performance evaluation, and decision support systems. His has published more than 80 journal papers in such journals as Production and Operations Management, IEEE Transactions on Systems, Man, and Cybernetics: Systems, Risk Analysis, Decision Sciences, Decision Support Systems, European Journal of Operational Research, IEEE Transactions on Knowledge and Data Engineering, et al. He has coauthored 3 books with David L Olson, and has served as editor/guest editor for several journals such as IEEE Transactions on Systems, Man, and Cybernetics: Part B, Omega, Computers and OR, International Journal of Production Research.
About this book
This book provides an overview of predictive methods demonstrated by open source software modeling with Rattle (R’) and WEKA. Knowledge management involves application of human knowledge (epistemology) with the technological advances of our current society (computer systems) and big data, both in terms of collecting data and in analyzing it. We see three types of analytic tools. Descriptive analytics focus on reports of what has happened. Predictive analytics extend statistical and/or artificial intelligence to provide forecasting capability. It also includes classification modeling. Prescriptive analytics applies quantitative models to optimize systems, or at least to identify improved systems. Data mining includes descriptive and predictive modeling. Operations research includes all three. This book focuses on prescriptive analytics.
The book seeks to provide simple explanations and demonstration of some descriptive tools. This second edition provides more examples of big data impact, updates the content on visualization, clarifies some points, and expands coverage of association rules and cluster analysis. Chapter 1 gives an overview in the context of knowledge management. Chapter 2 discusses some basic data types. Chapter 3 covers fundamentals time series modeling tools, and Chapter 4 provides demonstration of multiple regression modeling. Chapter 5 demonstrates regression tree modeling. Chapter 6 presents autoregressive/integrated/moving average models, as well as GARCH models. Chapter 7 covers the set of data mining tools used in classification, to include special variants support vector machines, random forests, and boosting.
Models are demonstrated using business related data. The style of the book is intended to be descriptive, seeking to explain how methods work, with some citations, but without deep scholarly reference. The data sets and software are all selected for widespread availability and access by any reader with computer links.
Brief contents
1 Knowledge Management 1
1.1 The Big Data Era 1
1.2 Business Intelligence. 2
1.3 Knowledge Management 3
1.4 Computer Support Systems 3
1.5 Data Mining Forecasting Applications 5
1.6 Data Mining Tools 6
1.7 Summary 7
References 8
2 Data Sets. 11
2.1 Gold 12
2.2 Other Datasets 14
2.2.1 Financial Index Data 14
2.2.2 Loan Analysis Data 17
2.2.3 Job Application Data 17
2.2.4 Insurance Fraud Data 18
2.2.5 Expenditure Data 18
2.3 Summary 19
References 20
3 Basic Forecasting Tools 21
3.1 Moving Average Models 21
3.2 Regression Models 22
3.3 Time Series Error Metrics 26
3.4 Seasonality 27
3.5 Demonstration Data 31
3.6 Software Demonstrations 35
3.6.1 R Software 36
3.6.2 Weka 39
3.7 Summary 42
4 Multiple Regression 45
4.1 Data Series 45
4.2 Correlation 47
4.3 Lags 50
4.4 Summary 55
5 Regression Tree Models 57
5.1 R Regression Trees 57
5.2 Random Forests 61
5.3 WEKA Regression Trees 67
5.3.1 Decision Stump 68
5.3.2 Random Tree Modeling 69
5.3.3 REP Tree Modeling 70
5.3.4 Random Forest 70
5.3.5 M5P Modeling 76
5.4 Summary 77
Reference 77
6 Autoregressive Models 79
6.1 ARIMA Models 79
6.2 ARIMA Model of Brent Crude 80
6.3 ARMA. 82
6.4 GARCH Models 87
6.4.1 ARCH(q) 87
6.4.2 GARCH(p, q) 87
6.4.3 EGARCH 88
6.4.4 GJR(p, q) 88
6.5 Regime Switching Models. 89
6.6 Application on Crude Oil Data 89
6.7 Summary 92
References 93
7 Classification Tools 95
7.1 Bankruptcy Data Set 95
7.2 Logistic Regression. 97
7.3 Support Vector Machines 102
7.4 Neural Networks. 106
7.5 Decision Trees 107
7.6 Random Forests 110
7.7 Boosting 112
7.8 Comparison 113
7.9 WEKA Classification Modeling 116
7.10 Summary 120
Reference 121
8 Predictive Models and Big Data 123
References 125
Series: Computational Risk Management
Pages: 125 pages
Publisher: Springer; 2nd ed. 2020 edition (October 3, 2019)
Language: English
ISBN-10: 9811396639
ISBN-13: 978-9811396632