Table 2.
Prediction performance using the 9 selected important features.
| Performance measure | Logistic regression (ridge), n (%) | Logistic regression (LASSOa), n (%) | Random forests, n (%) | ||
| Accuracy (low volatility class; n=694) | |||||
|
|
Subsample 1 | 510 (73.5) | 513 (73.9) | 461 (67.4) | |
|
|
Subsample 2 | 518 (74.6) | 516 (74.4) | 475 (68.4) | |
|
|
Subsample 3 | 511 (73.6) | 518 (74.6) | 474 (68.3) | |
|
|
Subsample 4 | 511 (73.6) | 506 (72.9) | 454 (65.4) | |
|
|
Subsample 5 | 504 (72.6) | 506 (72.9) | 455 (65.6) | |
|
|
Consolidated | 510 (73.5) | 515 (74.2) | 476 (68.6) | |
| Accuracy (high volatility class; n=185) | |||||
|
|
Subsample 1 | 114 (61.6) | 122 (65.9) | 119 (64.3) | |
|
|
Subsample 2 | 116 (62.7) | 117 (63.2) | 129 (69.7) | |
|
|
Subsample 3 | 114 (61.6) | 115 (62.2) | 121 (65.4) | |
|
|
Subsample 4 | 118 (63.8) | 121 (65.4) | 124 (67.0) | |
|
|
Subsample 5 | 120 (64.9) | 119 (64.3) | 123 (66.5) | |
|
|
Consolidated | 115 (62.2) | 121 (65.4) | 125 (67.6) | |
| Overall accuracy (n=879) | |||||
|
|
Subsample 1 | 624 (71.0) | 635 (72.2) | 587 (66.8) | |
|
|
Subsample 2 | 634 (72.1) | 633 (72.0) | 604 (68.7) | |
|
|
Subsample 3 | 625 (71.1) | 633 (72.0) | 595 (65.8) | |
|
|
Subsample 4 | 629 (71.6) | 627 (71.3) | 578 (65.8) | |
|
|
Subsample 5 | 624 (71.0) | 625 (71.1) | 578 (65.8) | |
|
|
Consolidated | 625 (71.1) | 636 (72.4) | 601 (68.4) | |
aLASSO: least absolute shrinkage and selection operator.