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A Probability-Mapping Algorithm for Calibrating the Posterior Probabilities: A Direct Marketing Application

Author

Listed:
  • K. Coussement

    (LEM - Lille - Economie et Management - Université de Lille, Sciences et Technologies - CNRS - Centre National de la Recherche Scientifique)

  • W. Buckinx

Abstract

Calibration refers to the adjustment of the posterior probabilities output by a classification algorithm towards the true prior probability distribution of the target classes. This adjustment is necessary to account for the difference in prior distributions between the training set and the test set. This article proposes a new calibration method, called the probability-mapping approach. Two types of mapping are proposed: linear and non-linear probability mapping. These new calibration techniques are applied to 9 real-life direct marketing datasets. The newly-proposed techniques are compared with the original, non-calibrated posterior probabilities and the adjusted posterior probabilities obtained using the rescaling algorithm of Saerens et al. (2002). The results recommend that marketing researchers must calibrate the posterior probabilities obtained from the classifier. Moreover, it is shown that using a 'simple' rescaling algorithm is not a first and workable solution, because the results suggest applying the newly-proposed non-linear probability-mapping approach for best calibration performance.

Suggested Citation

  • K. Coussement & W. Buckinx, 2011. "A Probability-Mapping Algorithm for Calibrating the Posterior Probabilities: A Direct Marketing Application," Post-Print hal-00788068, HAL.
    • Handle: RePEc:hal:journl:hal-00788068
    DOI: 10.1016/j.ejor.2011.05.027
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    Cited by:

    1. M. Ballings & D. Van Den Poel & E. Verhagen, 2013. "Evaluating the Added Value of Pictorial Data for Customer Churn Prediction," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 13/869, Ghent University, Faculty of Economics and Business Administration.
    2. Koen W. de Bock & Kristof Coussement & Arno De Caigny & Roman Slowiński & Bart Baesens & Robert N Boute & Tsan-Ming Choi & Dursun Delen & Mathias Kraus & Stefan Lessmann & Sebastián Maldonado & David , 2023. "Explainable AI for Operational Research: A Defining Framework, Methods, Applications, and a Research Agenda," Post-Print hal-04219546, HAL.
    3. Somayeh Moazeni & Boris Defourny & Monika J. Wilczak, 2020. "Sequential Learning in Designing Marketing Campaigns for Market Entry," Management Science, INFORMS, vol. 66(9), pages 4226-4245, September.
    4. Matthias Bogaert & Lex Delaere, 2023. "Ensemble Methods in Customer Churn Prediction: A Comparative Analysis of the State-of-the-Art," Mathematics, MDPI, vol. 11(5), pages 1-28, February.
    5. De Bock, Koen W. & Coussement, Kristof & Caigny, Arno De & Słowiński, Roman & Baesens, Bart & Boute, Robert N. & Choi, Tsan-Ming & Delen, Dursun & Kraus, Mathias & Lessmann, Stefan & Maldonado, Sebast, 2024. "Explainable AI for Operational Research: A defining framework, methods, applications, and a research agenda," European Journal of Operational Research, Elsevier, vol. 317(2), pages 249-272.
    6. Lessmann, Stefan & Coussement, Kristof & De Bock, Koen W. & Haupt, Johannes, 2018. "Targeting customers for profit: An ensemble learning framework to support marketing decision making," IRTG 1792 Discussion Papers 2018-012, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

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