企业经营管理预警：主成分分析在logistic回归方法中的应用

logistic回归分析是度量企业信用风险的一种主流方法,它的假设比较符合经济现实和金融数据分布的特点。但是考虑到现阶段我国上市公司的信用数据具有的高维性和高相关性等特点对logistic分析产生的负面影响,本文在logistic分析中引入了能够有效降维和消除logistic方程共线性等问题的主成分分析,并对我国沪深两市上市公司的经营失败进行了实证研究,结果表明结合主成分分析法的logistic回归分析在模型解释和预测准确率等力面均优于简单的logistic分析。

Distress Prediction: Application of the PCA in Logistic Regression

Logistic regression model has become the standard method of analysis in the academic and practical fields of credit risk measurement.Considering the characteristics of high correlation and high dimension of the credit data of listed companies in China, this paper presents a new approach combining PCA with logistic analysis to empirically predict the Chinese corporate distress.The results show that the new approach is more stable and reliable than the simple logistic approach,especially in the credit prediction of the out of original samples.