An Automatic Relevance Determination Prior Bayesian Neural Network for Controlled Variable Selection

no code implementations • 6 Jan 2020 • Rendani Mbuvha, Illyes Boulkaibet, Tshilidzi Marwala

We present an Automatic Relevance Determination prior Bayesian Neural Network(BNN-ARD) weight l2-norm measure as a feature importance statistic for the model-x knockoff filter.

Feature Importance Variable Selection

Automatic Relevance Determination Bayesian Neural Networks for Credit Card Default Modelling

no code implementations • 14 Jun 2019 • Rendani Mbuvha, Illyes Boulkaibet, Tshilidzi Marwala

Credit risk modelling is an integral part of the global financial system.